{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,4]],"date-time":"2026-09-04T23:16:19Z","timestamp":1788563779263,"version":"build-2803163510"},"reference-count":31,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2025,8,1]],"date-time":"2025-08-01T00:00:00Z","timestamp":1754006400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"},{"start":{"date-parts":[[2025,8,1]],"date-time":"2025-08-01T00:00:00Z","timestamp":1754006400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2025,11]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>We show there are large finite\u2010sample estimation improvements from estimating local projections (LP) in a cumulated differences (long\u2010differenced) specification vs. a specification in levels when the impulse response of interest is to an externally identified (\u201cobserved\u201d) shock. The long\u2010differenced specification substantially reduces, and in many cases eliminates, estimation bias, as well as significantly improves confidence interval coverage. These improvements increase for more persistent processes, at longer horizons, and for smaller sample sizes and extend to the instrumental variable LP (LP\u2010IV) setting where the observed shock is an instrument for an endogenous variable of interest. We demonstrate these results via simulations as well as illustrative analytic results.<\/jats:p>","DOI":"10.1002\/jae.70003","type":"journal-article","created":{"date-parts":[[2025,8,1]],"date-time":"2025-08-01T11:32:18Z","timestamp":1754047938000},"page":"759-787","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Differences From Differencing: Should Local Projections With Observed Shocks Be Estimated in Levels or Differences?"],"prefix":"10.1002","volume":"40","author":[{"given":"Jeremy","family":"Piger","sequence":"first","affiliation":[{"name":"Department of Economics University of Oregon  Eugene Oregon USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Thomas","family":"Stockwell","sequence":"additional","affiliation":[{"name":"Department of Economics, Sykes College of Business University of Tampa  Tampa Florida USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2025,8,1]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.7208\/chicago\/9780226018584.003.0003"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/723574"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/426038"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884282"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.102.4.1692"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2024.105702"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1108\/S0731-9053(2013)0000031003"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1985.10509453"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950080302"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2024.105655"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20180090"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1257\/0002828053828518"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2014.12.011"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.20241521"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00143"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(02)00146-0"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1994.10524551"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2024.105722"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA18756"},{"key":"e_1_2_11_21_1","doi-asserted-by":"crossref","unstructured":"Montiel Olea J. L. M.Plagborg\u2010M\u00f8ller E.Qian andC. K.Wolf.2024. \u201cDouble Robustness of Local Projections and Some Unpleasant Varithmetic. NBER Working Paper No. 32495\u201d.","DOI":"10.3386\/w32495"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.894"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA17813"},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/696277"},{"key":"e_1_2_11_25_1","doi-asserted-by":"publisher","DOI":"10.3386\/w21978"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0020-6598.2005.00310.x"},{"key":"e_1_2_11_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2007.00222.x"},{"key":"e_1_2_11_28_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171753"},{"key":"e_1_2_11_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/ecoj.12593"},{"key":"e_1_2_11_30_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20150016"},{"key":"e_1_2_11_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(86)90054-1"},{"key":"e_1_2_11_32_1","doi-asserted-by":"crossref","unstructured":"Xu K.\u2010L.2023. \u201cLocal Projection Based Inference Under General Conditions. 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