Instructors

Òscar Jordà (Federal Reserve Bank of San Francisco and UC Davis)

Dates

8-12 September 2025

Hours

9:30 to 13:00 CEST

Format

In person

Practical Classes

No

Intended for

Academic researchers and policy analysts who are interested in modern multivariate time series methods to compute the dynamic effect of policy interventions and the method of local projections in particular.

Prerequisites

Some basic knowledge of probability or statistics is expected. Individuals with undergraduate degrees in economics, statistics or related disciplines should be able to follow the course. The emphasis will be on applications and practical aspects rather than on deep theory. The applications will primarily use the statistics software package STATA.

Overview

Applied economists are often interested in how an intervention will affect an economic outcome. When the data come in the form of a vector time series or a panel of data of a vector of variables for individual units observed over time, it is important to characterize the dynamic features of the problem in as general a manner as possible. The main objective of the course is thus to introduce the method of local projections (LPs) to examine how interventions affect outcomes over time in the context of general dynamic systems. The flexibility of LPs allow for convenient extensions to explore nonlinearities, state-dependence and policy evaluation more generally, in an easy and accessible way.

Over the past few years, there have been numerous extensions to LPs that will be discussed. These include estimation of multipliers and interpretation of impulse responses; new results on impulse response inference; a decomposition of the impulse response into the direct versus indirect effects of an intervention, and small-sample composition effects; simple linear in parameter methods to estimate time-varying impulse responses; stratification of impulse responses as a function of economic conditions and other nonlinear extensions, to name a few.

More recently, it has become more common to analyze panel data in macroeconomics. Panel data structures allow for richer options, especially on identification. The course will take advantage of these new developments, particularly in the area of difference-in-differences (DiD) identification. LP-DiD methods accommodate a wide range of recently proposed estimators of staggered, heterogeneous, treatment effects.

The breadth of topics covered limits the rigor with which each result will be discussed, though appropriate references will be provided for those interested. The goal of the course is to guide practitioners to appropriate methods for their problems, and to elicit fruitful extensions and avenues for new research. Applications of the methods discussed in class will use the econometrics software package STATA.

Topics

• Introduction to the main questions of interest: a local projection as the dynamic version of traditional policy evaluation. Connection to vector autoregressions and their impulse responses. Multipliers and interpretation of impulse responses under different specifications.
• Inference with local projections.
• Identification.
• Smoothing methods and economic interpretation.
• Matching methods for estimation of Euler equations. Optimal policy perturbations.
• Nonlinearities, Stratification, decomposition, and time-varying impulse responses.
• Panel data structures and inference.
• Staggered, heterogeneous treatment effects in difference-in-difference studies using LPs. Panel data applications.

Òscar Jordà is Senior Policy Advisor at the Federal Reserve Bank of San Francisco and Professor of Economics at the University of California, Davis. He earned his doctorate at the University of California, San Diego. He is the founding Chair of the Spanish Business Cycle Dating Committee and currently serves as a member. In addition, he is a member of the Center for Economic Policy Research. His research focuses on time series econometrics with applications in macroeconomics, economic history, and finance. He has published in international 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. He is Co-editor of the International Journal of Central Banking, and Associate Editor of the Journal of International Economics, and the Journal of Applied Econometrics. He previously served in the editorial boards of the Journal of Business and Economic Statistics, the Journal of Econometric Methods, Empirical Economics, and the Journal of the Spanish Economic Association.