Comparer des méthodes

	Projections locales	Panneau seuil VAR
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2005	1996
Auteur d'origine	Oscar Jorda	Bruce Hansen and colleagues
Type	Multi-horizon regression	Nonlinear panel model
Source fondatrice	Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182.	Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414.
Alias	LP-IR, Multi-horizon regression	Panel-VAR with regime switching
Apparentées	3	3
Résumé	Local Projections (LP) is a semi-parametric method for estimating impulse responses directly via multi-horizon regressions, bypassing VAR-model specification. Introduced by Jorda (2005), it projects outcomes h periods ahead onto current shocks and lags, producing impulse-response functions without assuming a particular lag structure or VAR order. This flexibility has made it the dominant approach in applied macroeconomics for measuring policy effects and shock transmission.	The Threshold Panel VAR extends the standard vector autoregression framework to accommodate regime-switching behavior where relationships change when a threshold variable crosses a critical level. Introduced by Hansen (1996) and applied to panels by Caner and Hansen (2001), it allows different dynamic relationships across regimes (e.g., expansions versus recessions) while exploiting the cross-sectional dimension of panel data. This nonlinear framework captures state-dependent policy effects and economic mechanisms.