方法对比
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| 局部投影× | 门限面板向量自回归模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2005 | 1996 |
| 提出者≠ | Oscar Jorda | Bruce Hansen and colleagues |
| 类型≠ | Multi-horizon regression | Nonlinear 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 ↗ | Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometric Theory, 12(3), 386-414. DOI ↗ |
| 别名≠ | LP-IR, Multi-horizon regression | Panel-VAR with regime switching |
| 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. | 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. |
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