How Reliable Are Local Projection Estimators of Impulse Responses?

2011 ◽  
Vol 93 (4) ◽  
pp. 1460-1466 ◽  
Author(s):  
Lutz Kilian ◽  
Yun Jung Kim
Keyword(s):  
Impulse Responses ◽  
Local Projection ◽  
Projection Estimators

scholarly journals Local Projection Inference Is Simpler and More Robust Than You Think

Econometrica ◽  
2021 ◽  
Vol 89 (4) ◽  
pp. 1789-1823
Author(s):  
José Luis Montiel Olea ◽  
Mikkel Plagborg-Møller
Keyword(s):  
Serial Correlation ◽  
Standard Errors ◽  
Impulse Responses ◽  
Local Projection ◽  
Regression Residuals ◽  
Wide Range ◽  
Persistent Data ◽  
Future Outcomes ◽  
Local Projections ◽  
Linear Regressions

Applied macroeconomists often compute confidence intervals for impulse responses using local projections, that is, direct linear regressions of future outcomes on current covariates. This paper proves that local projection inference robustly handles two issues that commonly arise in applications: highly persistent data and the estimation of impulse responses at long horizons. We consider local projections that control for lags of the variables in the regression. We show that lag‐augmented local projections with normal critical values are asymptotically valid uniformly over (i) both stationary and non‐stationary data, and also over (ii) a wide range of response horizons. Moreover, lag augmentation obviates the need to correct standard errors for serial correlation in the regression residuals. Hence, local projection inference is arguably both simpler than previously thought and more robust than standard autoregressive inference, whose validity is known to depend sensitively on the persistence of the data and on the length of the horizon.

scholarly journals Creation of Auditory Augmented Reality Using a Position-Dynamic Binaural Synthesis System—Technical Components, Psychoacoustic Needs, and Perceptual Evaluation

2021 ◽  
Vol 11 (3) ◽  
pp. 1150
Author(s):  
Stephan Werner ◽  
Florian Klein ◽  
Annika Neidhardt ◽  
Ulrike Sloma ◽  
Christian Schneiderwind ◽  
...  
Keyword(s):  
Augmented Reality ◽  
Auditory Perception ◽  
Audio Signal ◽  
Spatial Audio ◽  
Impulse Responses ◽  
Synthesis System ◽  
Perceptual Evaluation ◽  
Listening Tests ◽  
Work Done ◽  
Audio Reproduction

For a spatial audio reproduction in the context of augmented reality, a position-dynamic binaural synthesis system can be used to synthesize the ear signals for a moving listener. The goal is the fusion of the auditory perception of the virtual audio objects with the real listening environment. Such a system has several components, each of which help to enable a plausible auditory simulation. For each possible position of the listener in the room, a set of binaural room impulse responses (BRIRs) congruent with the expected auditory environment is required to avoid room divergence effects. Adequate and efficient approaches are methods to synthesize new BRIRs using very few measurements of the listening room. The required spatial resolution of the BRIR positions can be estimated by spatial auditory perception thresholds. Retrieving and processing the tracking data of the listener’s head-pose and position as well as convolving BRIRs with an audio signal needs to be done in real-time. This contribution presents work done by the authors including several technical components of such a system in detail. It shows how the single components are affected by psychoacoustics. Furthermore, the paper also discusses the perceptive effect by means of listening tests demonstrating the appropriateness of the approaches.

Is bigger more effective? shock size and the efficacy of monetary policy

2021 ◽  
pp. 1-10
Author(s):  
Toyoichiro Shirota
Keyword(s):  
Monetary Policy ◽  
Projection Method ◽  
Monetary Policy Shocks ◽  
Information Effect ◽  
Local Projection ◽  
Policy Effects ◽  
Potential Source ◽  
The Us ◽  
Policy Shocks ◽  
Us Monetary Policy

Abstract This study empirically examines whether shock size matters for the US monetary policy effects. Using a nonlinear local projection method, I find that large monetary policy shocks are less powerful than smaller monetary policy shocks, with the information effect being the potential source of the observed asymmetry in monetary policy efficacy.

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