Estimation and Inference of Impulse Responses by Local Projections
As I worked as a research assistant for Prof. Antoine Djogbenou, I was reviewing Jordà’s 2005 paper of Estimation and Inference of Impulse Responses by Local Projections1.
My work involves describing the problem the paper addresses in the literature and summarizing its main contributions. I also replicated the empirical results by developing an algorithm in STATA, R, and Python. I have also applied the method to quantify macroeconomic impacts of monetary policy. This work also identifies key limitations of the framework and offers insights for future research directions.
This is an extremely interesting and intuitive take on estimating Impulse Responses functions. I wish to discuss about this technique more in the future. Stay tuned and enjoy my report!
Jordà Research Report
STATA Local Projection
Modified Dataset
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Jordà, Ò. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161–182. https://doi.org/10.1257/0002828053828518 ↩