Advanced Studies Program

Local Projections for Applied Economics – Òscar Jordà (San Francisco FED)

30 - 02 Jun - Jul 2025

Mit Anmeldung

Course description

Researchers are often interested in calculating how variables respond over time to a given stimulus, such as a policy intervention. This is often referred to as an impulse response. The method of local projections offers a convenient approach to investigate such impulse response dynamics.

This course:

  1. explores the basics of the local projections method (including identification, estimation, multipliers, and inference).
  2. presents several extensions (such as smoothing, stratification, and nonlinearities) and discusses different approaches to evaluate policy responses (such as matching estimators and optimal policy perturbations).
  3. discuss extensions to panel data and difference-in-differences estimation.

Because the method of local projections is very straightforward in easy to scale, the ultimate goal is to equip practitioners with appropriate methods for their research problems and inspire new research avenues.

the course outline is available here

Objectives

At the end of this course, participants will:

  • Understand the foundations of local projections and their connection to vector autoregressions (VARs)
  • Know how to do basic estimation, including proper identification and statistical inference.
  • Be able to apply local projections in analysis of time series and panel data.

Method

The course will combine classroom lectures, which will include the presentation of the main concepts as well as live demonstrations of statistical code in using STATA. The slides and additional learning materials will be provided to participants to help them apply their new knowledge and skills in practice. A temporary Stata software license can be provided on demand.  

Timetable

9:00am-12:30pm Monday June 30, 2025
2:00pm-5:30pm Tuesday July, 1st, 2025
9:30am-1:00pm Wednesday July 2nd, 2025

Location

The course takes place at:

DIW Berlin
Mohrenstraße 58
10117 Berlin (Mitte)

 

In cooperation with

Teacher

Òscar Jordà is senior policy advisor federal reserve bank of san francisco and professor at the U.C. Davis, Department of Economics. His research focuses on time series econometrics with applications in macroeconomics, economic history, and finance. He has an impressive number of essential contributions to these fields and published in major journals such as the American Economic Review, Journal of Political Economy, Review of Economic Studies, Quarterly Journal of Economics, Journal of the European Economic Association, and International Economic Review.

Registration

ASP Individual Course Registration

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