Local Projection Inference Is Simpler and More Robust Than You Think

DOI10.3982/ECTA18756zbMath1497.62335arXiv2007.13888OpenAlexW3187068356MaRDI QIDQ5020504

Mikkel Plagborg-Møller, José Luis Montiel Olea

Publication date: 6 January 2022

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.13888

zbMATH Keywords

impulse responseuniform inferencelong horizonlocal projection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (6)

Are government spending shocks inflationary at the zero lower bound? New evidence from daily data ⋮ Identifying monetary policy shocks using the central bank's information set ⋮ Bias in local projections ⋮ Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Demand elasticities of bitcoin and ethereum ⋮ Comparison of local projection estimators for proxy vector autoregressions

This page was built for publication: Local Projection Inference Is Simpler and More Robust Than You Think