Regression modelImpulse response
局部投影
局部投影（LP）是一种通过多期回归直接估计脉冲响应的半参数方法，无需进行VAR模型设定。Jorda（2005）提出该方法，它将h期后的结果投影到当前冲击和滞后项上，从而生成脉冲响应函数，而无需假设特定的滞后结构或VAR阶数。这种灵活性使其成为应用宏观经济学中衡量政策效应和冲击传导的主流方法。
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来源
- Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182. DOI: 10.1257/0002828053828518 ↗
- Ramey, V. A., & Zubairy, S. (2018). Government spending multipliers in good times and in bad times. Journal of Political Economy, 126(2), 850-901. link ↗
如何引用本页
ScholarGate. (2026, June 3). Local Projections Impulse Response Analysis. ScholarGate. https://scholargate.app/zh/econometrics/local-projections
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