Speaker: Joe Marlow (University of Surrey and Central Bank of Ireland)
Date: February 24, 2026 (online)
Time: 12:30 PM
Title: VARs and Local Projections Equivalence for Impulse Responses: Unit Roots and Multiple Instruments
Abstract: We show that the equivalence in population between impulse responses in Vector Autoregressions (VARs) and Local Projections (LPs) can be extended to (possibly cointegrated) unit roots with unrestricted lag structure. We also prove that structural estimation with multiple instruments for multiple endogenous regressors (LP-IV) is equivalent to a recursively block-identified Structural VAR, where the block of instruments is ordered first. Simulations and two applications illustrate our results.
Session chair: Luís Filipe Martins
