Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions

Working Paper N° 2

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Detalles Bibliográficos
Autores principales: Psadarakis, Zacharias, Sola, Martín, Spagnolo, Nicola, Yunis, Patricio
Formato: Documento de trabajo
Lenguaje:Español
Publicado: Universidad Torcuato Di Tella 2025
Materias:
Econometría
Econometrics
Análisis de datos
Data Analysis
Acceso en línea:https://repositorio.utdt.edu/handle/20.500.13098/13384
Aporte de:
Repositorio Digital Universidad Torcuato Di Tella de Universidad Torcuato Di Tella
id I57-R163-20.500.13098-13384
record_format dspace
spelling I57-R163-20.500.13098-133842025-11-14T21:31:40Z Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions Psadarakis, Zacharias Sola, Martín Spagnolo, Nicola Yunis, Patricio Econometría Econometrics Análisis de datos Data Analysis Working Paper N° 2 We examine the small-sample accuracy of impulse responses obtained using local projections (LP) and vector autoregressive (VAR) models. In view of the fact that impulse responses are differences between multistep predictors, we propose to assess the relative performance of impulse-response estimators using tests for equal predictive accuracy. In our Monte Carlo experiments, LP-based and VAR-based estimators are found to be equally accurate in large samples under a mean squared error risk function. VAR-based estimators tend to have an advantage over LP-based ones in small and moderately sized samples, particularly at long horizons. Universidad Torcuato Di Tella Departamento de Economía 2025-04-28T17:23:09Z 2024-05-20 info:eu-repo/semantics/workingPaper https://repositorio.utdt.edu/handle/20.500.13098/13384 spa Working Papers Economía - Universidad Torcuato Di Tella. Departamento de Economía info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es 11 p. application/pdf application/pdf
institution Universidad Torcuato Di Tella
institution_str I-57
repository_str R-163
collection Repositorio Digital Universidad Torcuato Di Tella
language Español
orig_language_str_mv spa
topic Econometría
Econometrics
Análisis de datos
Data Analysis
spellingShingle Econometría
Econometrics
Análisis de datos
Data Analysis
Psadarakis, Zacharias
Sola, Martín
Spagnolo, Nicola
Yunis, Patricio
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
topic_facet Econometría
Econometrics
Análisis de datos
Data Analysis
description Working Paper N° 2
format Documento de trabajo
author Psadarakis, Zacharias
Sola, Martín
Spagnolo, Nicola
Yunis, Patricio
author_facet Psadarakis, Zacharias
Sola, Martín
Spagnolo, Nicola
Yunis, Patricio
author_sort Psadarakis, Zacharias
title Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
title_short Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
title_full Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
title_fullStr Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
title_full_unstemmed Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
title_sort predictive accuracy of impulse responses estimated using local projections and vector autoregressions
publisher Universidad Torcuato Di Tella
publishDate 2025
url https://repositorio.utdt.edu/handle/20.500.13098/13384
work_keys_str_mv AT psadarakiszacharias predictiveaccuracyofimpulseresponsesestimatedusinglocalprojectionsandvectorautoregressions
AT solamartin predictiveaccuracyofimpulseresponsesestimatedusinglocalprojectionsandvectorautoregressions
AT spagnolonicola predictiveaccuracyofimpulseresponsesestimatedusinglocalprojectionsandvectorautoregressions
AT yunispatricio predictiveaccuracyofimpulseresponsesestimatedusinglocalprojectionsandvectorautoregressions
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