This paper introduces a quasi-Bayesian approach for local projection instrumental-variables (LP-IV) estimation. It builds a moment-based quasi-posterior using the generalized method of moments (GMM) objective and applies a roughness-penalty prior to smooth impulse responses over different horizons. The approach maintains the key first-order features of traditional LP-IV methods, while enhancing stability in finite samples and allowing for joint inference through simultaneous bands. Simulations indicate that this regularization decreases root mean squared error compared to standard GMM, especially at medium and longer horizons. An application to Danish electricity markets highlights the method's practical usefulness.

翻译：本文提出了一种用于局部投影工具变量（LP-IV）估计的准贝叶斯方法。该方法利用广义矩估计（GMM）目标函数构建基于矩的准后验分布，并采用粗糙度惩罚先验来平滑不同时间跨度上的脉冲响应函数。该方案保留了传统LP-IV方法的一阶特征，同时增强了有限样本下的稳定性，并允许通过联合置信带进行整体推断。仿真结果表明，与标准GMM相比，这种正则化方法降低了均方根误差，尤其是在中期和长期跨度上。对丹麦电力市场的应用案例凸显了该方法在实际应用中的价值。