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
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
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Persistent link: https://EconPapers.repec.org/RePEc:inu:caeprp:2022002
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