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On Local Projection Based Inference

Ke-Li Xu ()
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Ke-Li Xu: Indiana University Bloomington

CAEPR Working Papers from Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington

Abstract: Montiel Olea and Plagborg-Moller (2021) recently propose robust confidence intervals for impulse responses based on the lag-augmented local projection regression, under the full mean independence assumption on the shock process. We show that their uniformity result remains valid for a more general class of martingale difference shocks, as long as score contributions of the lag-augmented regression are serially uncorrelated. We further propose new (tuning-parameter-free) robust conÖdence intervals which allow for general serial correlation in score contributions

Keywords: Uniform inference; impulse responses; local projections; persistence (search for similar items in EconPapers)
Pages: 23 pages
Date: 2022-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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https://caepr.indiana.edu/RePEc/inu/caeprp/CAEPR2022-002.pdf (application/pdf)

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