3 citations · 4 across the 3 of their papers we have counts for
10 papers · 1 filter
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…