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

• run_sim_ar1.m: AR(1) study
• run_sim_var.m: bivariate VAR study
• run_sim_var_calib.m: empirically calibrated VAR study
• create_figs.m: create figures of AR(1) and bivariate VAR results
• create_table.m: create table of AR(1) and bivariate VAR results
• create_fig_var_calib.m: create figure of empirically calibrated VAR results

Acknowledgements

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