Economics Research Seminar

Michael Pfarrhofer (WU Vienna)

Michael Pfarrhofer

General Seemingly Unrelated Local Projections, opens an external URL in a new window

Abstract: We provide the parameters to support efficiently estimating impulse response functions with Local Projections (LPs). Our approach offers a Bayesian treatment for LPs with Instrumental Variables, accommodating multiple shocks and instruments per shock, accounts for autocorrelation in multi-step forecasts by jointly modeling all LPs as a seemingly unrelated system of equations, defines a flexible yet parsimonious joint prior for impulse responses based on a Gaussian Process, allows for joint inference about the entire vector of impulse responses, and uses all available data across horizons by imputing missing values.

by Florian Huber, Christian Matthes, Michael Pfarrhofer

Event

Time & date

March 19, 2025

16:15 - 17:15 PM

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Location

K127A

Contact

Department of Economics