457 citations · 545 across the 9 of their papers we have counts for
10 papers
Limited-Information Estimation of Heterogeneous Agent Models
Laura Liu, Mikkel Plagborg-Møller, Nelson Matthew P. Tan
We develop a method for estimating and testing a single block of a macroeconomic model with heterogeneous agents, without placing assumptions on the structure of the rest of the ec…
Local Projections or VARs? A Primer for Macroeconomists
José Luis Montiel Olea, Mikkel Plagborg-Møller, Eric Qian +1
What should applied macroeconomists know about local projection (LP) and vector autoregression (VAR) impulse response estimators? The two methods share the same estimand, but in fi…
Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly
Michal Kolesár, Mikkel Plagborg-Møller
Applied macroeconomists frequently use impulse response estimators motivated by linear models. We study whether the estimands of such procedures have a causal interpretation when t…
Double Robustness of Local Projections and Some Unpleasant VARithmetic
José Luis Montiel Olea, Mikkel Plagborg-Møller, Eric Qian +1
We consider impulse response inference in a locally misspecified vector autoregression (VAR) model. The conventional local projection (LP) confidence interval has correct coverage…
Standard Errors for Calibrated Parameters
Matthew D. Cocci, Mikkel Plagborg-Møller
Calibration, the practice of choosing the parameters of a structural model to match certain empirical moments, can be viewed as minimum distance estimation. Existing standard error…
Local Projections vs. VARs: Lessons From Thousands of DGPs
Dake Li, Mikkel Plagborg-Møller, Christian K. Wolf
We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, des…
Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data
Laura Liu, Mikkel Plagborg-Møller
We develop a generally applicable full-information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross sections of micro data.…
Instrumental Variable Identification of Dynamic Variance Decompositions
Mikkel Plagborg-Møller, Christian K. Wolf
Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock with…
Local Projection Inference is Simpler and More Robust Than You Think
José Luis Montiel Olea, Mikkel Plagborg-Møller
Applied macroeconomists often compute confidence intervals for impulse responses using local projections, i.e., direct linear regressions of future outcomes on current covariates.…
Robust Empirical Bayes Confidence Intervals
Timothy B. Armstrong, Michal Kolesár, Mikkel Plagborg-Møller
We construct robust empirical Bayes confidence intervals (EBCIs) in a normal means problem. The intervals are centered at the usual linear empirical Bayes estimator, but use a crit…