Kilian, Lutz; Kim, Yun Jung - In: The Review of Economics and Statistics 93 (2011) 4, pp. 1460-1466
We compare the finite-sample performance of impulse response confidence intervals based on local projections (LPs) and vector autoregressive (VAR) models in linear stationary settings. We find that in small samples, the asymptotic LP interval often is less accurate than the bias-adjusted...