方法对比
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| 局部投影× | 时变参数因子增强向量自回归模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份 | 2005 | 2005 |
| 提出者≠ | Oscar Jorda | Bernanke, Boivin, and Eliasz |
| 类型≠ | Multi-horizon regression | Time-varying system |
| 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 ↗ | Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208. link ↗ |
| 别名≠ | LP-IR, Multi-horizon regression | Dynamic factor model with time-varying parameters |
| 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. | 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. |
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