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econ.EM 1

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2026 1

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Estimator Averaging of Local Projection and VAR Impulse Responses

econ.EM · 2026-05-06 · unverdicted · novelty 7.0 · 2 refs

An estimator-averaging procedure for LP and VAR impulse responses minimizes finite-sample MSE via closed-form oracle weights and feasible bootstrap, delivering consistency and risk reduction under short-memory linear DGPs.

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  • Estimator Averaging of Local Projection and VAR Impulse Responses econ.EM · 2026-05-06 · unverdicted · none · ref 3 · 2 links

    An estimator-averaging procedure for LP and VAR impulse responses minimizes finite-sample MSE via closed-form oracle weights and feasible bootstrap, delivering consistency and risk reduction under short-memory linear DGPs.