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

Ke-Li Xu (Indiana University)

Séminaire CIREQ-McGill 2021-2022
conjoint avec le Department of Economics, McGill University

Responsable : Saraswata Chaudhuri (McGill University)

* Séminaire virtuel. Veuillez contacter le responsable pour obtenir les informations de connexion à Zoom. 

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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.