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Local Projections or Vector Autoregressions? A Primer for Macroeconomists

Author

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  • José Luis Montiel Olea
  • Mikkel Plagborg-Møller
  • Eric Qian
  • Christian K. Wolf

Abstract

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Suggested Citation

  • José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian & Christian K. Wolf, 2026. "Local Projections or Vector Autoregressions? A Primer for Macroeconomists," NBER Macroeconomics Annual, University of Chicago Press, vol. 40(1), pages 111-152.
    • Handle: RePEc:ucp:macann:doi:10.1086/738945
    DOI: 10.1086/738945
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    Cited by:

    1. is not listed on IDEAS
    2. Sarah Vella, 2025. "Constructing a country-specific indicator for cyclical systemic risk," Economic Change and Restructuring, Springer, vol. 58(3), pages 1-63, June.
    3. Bastianin, Andrea & Rossini, Luca & Testa, Alessandra, 2026. "Industrial Metal Supply Shocks and Heterogeneous Macroeconomic Effects: Evidence from Copper," FEEM Working Papers 387620, Fondazione Eni Enrico Mattei (FEEM).
    4. De Graeve, Ferre & Westermark, Andreas, 2025. "Long-lag VARs," Journal of Monetary Economics, Elsevier, vol. 156(C).
    5. Andrea Recine & Massimiliano Tancioni, 2025. "Macroeconomic Effects of Government Defense and Non-Defense R&D," CIMEO Working Paper Series 192, Centre for Investigation and Modelling of Experimental Observations (CIMEO).
    6. Le, Anh H. & Park, Donghyun & Beirne, John & Uddin, Gazi Salah, 2025. "How does disaster risk impact fiscal sustainability and inequality?," Economic Modelling, Elsevier, vol. 151(C).
    7. Eric Fortier, 2026. "Specification Choice in Local Projections: Evidence from Monetary Policy Shocks," Discussion Papers dp26-01, Department of Economics, Simon Fraser University.
    8. Andrea Cappelletti, 2025. "News on Asymmetric Fiscal Multipliers," "Marco Fanno" Working Papers 0330, Dipartimento di Scienze Economiche "Marco Fanno".
    9. Roberto Casarin & Antonio Peruzzi & Davide Raggi, 2025. "Multiple Equilibria and the Phillips Curve: Do Agents Always Underreact?," Working Papers 2025: 10, Department of Economics, University of Venice "Ca' Foscari".
    10. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector Autoregressive Analysis," Reviews of Economic Literature, Stanford University Press, vol. 1.
    11. Chattha, Muhammad Khudadad & Kawalec, Tobias, 2025. "Fiscal Multipliers in Resource-Rich Economies : Evidence from the Gulf Countries," Policy Research Working Paper Series 11193, The World Bank.
    12. Aleksei Nemtyrev & Otilia Boldea, 2026. "Targeted Local Projections," Papers 2603.00248, arXiv.org, revised Jun 2026.
    13. Damiano Di Francesco & Omar Pietro Carnevale, 2025. "Are Hysteresis Effects Nonlinear?," LEM Papers Series 2025/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    14. Oļegs Tkačevs & Karsten Staehr, 2026. "The effects of macroeconomic and budget balance shocks on public debt trajectories in the euro area," International Economics and Economic Policy, Springer, vol. 23(2), pages 1-30, May.
    15. Kevin Moran & Dalibor Stevanovic, 2026. "The effect of macroeconomic uncertainty on public finance," CIRANO Papers 2026pj-04, CIRANO.
    16. Gasmi, Farid & Kouakou, Dorgyles & Metevier, Samantha & Noumba Um, Paul, 2026. "Capturing the positive effects of brain drain through return migration policies: An analysis of the 1980-2022 Moroccan experience," TSE Working Papers 26-1700, Toulouse School of Economics (TSE).

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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