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Ke-Li Xu (Indiana University), On Local Projection Based Inference

Ke-Li Xu (Indiana University)

CIREQ-McGill Seminar 2020-2021
joint with the Department of Economics, McGill University

Organizer Saraswata Chaudhuri (McGill University)

* Virtual Seminar. Please contact the organizer for Zoom login information. 


Résumé : Montiel Olea and Plagborg-Møller (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. In this paper we show that their method remains valid under the weaker assumption of martingale difference shocks, as long as the score process of the lag-augmented regression is serially uncorrelated. We further propose new robust confidence intervals which allow the score process to be serially correlated.

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