STICERD Econometrics Seminar Series
On Local Projection Based Inference
Keli Xu (Indiana University)
Thursday 19 May 2022 14:00 - 15:30
Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.
Unless otherwise specified, in-person seminars are open to the public.
Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.
About this event
This 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. 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 confidence intervals which allow for general serial correlation in score contributions.
STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.
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