Compară metode

	VAR cu Factori Augmentați și Parametri Variabili în Timp	Proiecții locale
Domeniu	Econometrie	Econometrie
Familie	Regression model	Regression model
Anul apariției	2005	2005
Autorul original	Bernanke, Boivin, and Eliasz	Oscar Jorda
Tip	Time-varying system	Multi-horizon regression
Sursa seminală	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.	Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182.
Denumiri alternative	Dynamic factor model with time-varying parameters	LP-IR, Multi-horizon regression
Înrudite	3	3
Rezumat	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.	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.