| Abstract |
Jorda (2005) proposed the new method to estimate impulse response functions by local
projection. The new method, local projection, can avoid the misspecification problem. That
is, local projections are robust to misspecification of the data generating process (DGP). Wu,
Lee, and Wang (2008) extended the Jorda’s local projection from stationary time series I(0) to
non-stationary time series I(1). It makes the local projection be a more generally applicative
method for the Macroeconomic. In the article, I relax the cointegration vector which assumed
to be known in the Wu, Lee, and Wang (2008) and Lee(2010). From the inference of Johansen
(1995) I can get the property of super-consistent between β and ˆ β in the cointegration vector. I
use the above condition and OLS to estimate impulse response functions, and in the asymptotic
theorem, the cointegration vectors which assumed to be known or estimated by Johansen MLE
are both get the consistent coefficients of impulse responses. |
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