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Lag-augmented Local Projections

Matlab code for inference on impulse responses using local projection or VAR, with or without lag augmentation

Reference: Montiel Olea, José Luis, and Mikkel Plagborg-Møller (2021), "Local Projection Inference is Simpler and More Robust Than You Think", Econometrica 89(4), 1789-1823 (also available as arXiv:2007.13888)

Tested in: Matlab R2020a on Windows 10 PC (64-bit) and Matlab R2019a on Macbook Pro 2019

Contents

functions: Matlab routines

  • ir_estim.m: main function for impulse response inference

examples: Empirical examples

  • gk.m: example based on Gertler & Karadi (2015)

simulations: Simulation studies

Acknowledgements

Plagborg-Møller acknowledges that this material is based upon work supported by the National Science Foundation under Grant #1851665.

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Inference on impulse responses using local projection or VAR methods, with or without lag augmentation.

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