Clustered local projections recover conditional average impulse responses in time-varying models by classifying observations with k-means and estimating via GMM, as shown in simulations and applied to U.S. Treasury yield responses to monetary shocks under uncertainty.
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Clustered Local Projections for Time-Varying Models
Clustered local projections recover conditional average impulse responses in time-varying models by classifying observations with k-means and estimating via GMM, as shown in simulations and applied to U.S. Treasury yield responses to monetary shocks under uncertainty.