In this recent Federal Reserve Bank of San Francisco Working Paper, Atsushi Inoue, Òscar Jordà and Guido M. Kuersteiner offer a survey of the best practice about recent developments on Inference on Local Projections (LP). The paper provides large coverage of different problems related to the statistical inference of the LP method in applied economics. The paper is accompanied by a GitHub repository where all the computations and figures in the WP are reproduced. That is perfect if you want to learn and practice, like me. I managed to reproduced all the examples on my own computer. The last Figure, Figure 5, takes a bit of time if your computer has a mid-range power, like one of mine.
The paper is ultra-clear in the presentation of the challenges of the inference for LP. I was particularly interested in Figure 4 about the application to the response of shelter inflation to monetary policy:
The following presentation is also very useful to understand the concept of significance bands:
Reference
Inoue, Atsushi, Òscar Jordà, and Guido M. Kuersteiner. 2024. “Inference for Local Projections.” Federal Reserve Bank of San Francisco Working Paper 2024-29. https://doi.org/10.24148/wp2024-29.