Pith Number

pith:DQ52YKTY

pith:2026:DQ52YKTYGUWSLJF2SEJGXIJSCE

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Estimator Averaging of Local Projection and VAR Impulse Responses

Balazs Vonnak, Chaoyi Chen, Elena Pesavento

Estimator averaging optimally combines local projections and VARs to minimize mean squared error of impulse responses at each horizon.

arxiv:2605.05456 v2 · 2026-05-06 · econ.EM

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\usepackage{pith}
\pithnumber{DQ52YKTYGUWSLJF2SEJGXIJSCE}

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Record completeness

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4 Citations open

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The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

We propose an easy-to-implement estimator-averaging approach that combines LP and VAR at each horizon by minimizing the mean squared error of the impulse response itself, rather than in-sample fit. We derive closed-form oracle weights for this finite-sample risk problem, develop feasible AR-sieve-bootstrap procedures...

C2weakest assumption

For a benchmark class of short-memory linear data generating processes in which LP and VAR are both consistent, we establish the consistency and limiting distribution of the feasible averaged estimator.

C3one line summary

A new estimator-averaging method combines LP and VAR impulse responses by minimizing MSE at each horizon, with closed-form weights and bootstrap procedures, showing risk reduction in Monte Carlo and empirical tests.

Receipt and verification

First computed	2026-06-09T02:07:28.459973Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

1c3bac2a78352d25a4ba91126ba1321127b8b11332b0ec37909a9453415404a3

Aliases

arxiv: 2605.05456 · arxiv_version: 2605.05456v2 · doi: 10.48550/arxiv.2605.05456 · pith_short_12: DQ52YKTYGUWS · pith_short_16: DQ52YKTYGUWSLJF2 · pith_short_8: DQ52YKTY

Agent API

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/DQ52YKTYGUWSLJF2SEJGXIJSCE \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: 1c3bac2a78352d25a4ba91126ba1321127b8b11332b0ec37909a9453415404a3

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "7e4d8b35f232f2a8e696db2a2f895e49816ba2dcc423edd96f0d56b40a8bc6ef",
    "cross_cats_sorted": [],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "primary_cat": "econ.EM",
    "submitted_at": "2026-05-06T21:24:39Z",
    "title_canon_sha256": "48b5c3538a27a85537386cb37a5fa095ee80a0a7ed13dc704a74d4d4e1591df5"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2605.05456",
    "kind": "arxiv",
    "version": 2
  }
}