方法对比
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| 局部投影× | 面板VARX模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2005 | 2013 |
| 提出者≠ | Oscar Jorda | Canova and Ciccarelli |
| 类型≠ | Multi-horizon regression | Multi-equation panel model |
| 开创性文献≠ | Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182. DOI ↗ | Canova, F., & Ciccarelli, M. (2013). Panel vector autoregressive models: A survey. Advances in Econometrics, 32, 205-246. DOI ↗ |
| 别名≠ | LP-IR, Multi-horizon regression | Panel VAR-X |
| 相关 | 3 | 3 |
| 摘要≠ | 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. | Panel VARX extends vector autoregression to heterogeneous panels with exogenous variables, enabling simultaneous modeling of multiple endogenous variables alongside observed external factors across many units. Introduced by Holtz-Eakin et al. (1988) and advanced by Canova and Ciccarelli (2013), it captures dynamic relationships within units while allowing parameters to vary across units. This framework is essential for macroeconomic panels and understanding cross-unit heterogeneity in responses to common shocks. |
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