手法を比較

	局所射影法	時間変動係数ファクター拡張VAR (Time-Varying Parameter Factor-Augmented VAR)
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2005	2005
提唱者	Oscar Jorda	Bernanke, Boivin, and Eliasz
種類	Multi-horizon regression	Time-varying system
原典	Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182.	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.
別名	LP-IR, Multi-horizon regression	Dynamic factor model with time-varying parameters
関連	3	3
概要	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.	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.