Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The nonparametric nature of LP comes at an efficiency cost...

Impulse response analysis is typically conducted by fitting an autoregression model to a time series and calculating the moving average coefficients implied by the estimated autoregression model. If the autoregression specification is incorrect for the series, this approach may fail to capture...

We study estimation and inference in panel data regression models when the regressors of interest are macro shocks, which speaks to a large empirical literature that targets impulse responses via local projections. Our results hold under general dynamics and are uniformly valid over the degree...