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On Local Projection Based Inference

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  • Ke-Li Xu

    (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 con?dence intervals which allow for general serial correlation in score contributions

Suggested Citation

  • Ke-Li Xu, 2022. "On Local Projection Based Inference," CAEPR Working Papers 2022-002 Classification-, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    • Handle: RePEc:inu:caeprp:2022002
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    File URL: https://caepr.indiana.edu/RePEc/inu/caeprp/caepr2022-002.pdf
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    References listed on IDEAS

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    Keywords

    Uniform inference; impulse responses; local projections; persistence;
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