Local Projections Jorda (2005) - Replica

The first step is to estimate a VAR model as Evans and Marshall (1998). Next, we compute the impulse response functions and save them for later!

After estimating the VAR model, we extract the monetary shock, plot it and save it!

In step 3, we compute the impulse responses using the local projection method. To do so, we feed the shock from the VAR model.

Last we plot the Impulse response functions obtained from the VAR along with the Local projection method.

The first step of the replication process is to compute Evans 1998 VAR model and obtain the impulse response functions

After computing the VAR Model, I show you how to extract the monetary shock and feed it into the Local projection model.

Produce the Jorda (2005) Local Projections

Compare the impulse response functions produced by the VAR model and the local projection methodology - Jorda Figure 1