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most citedLocal Projections or VARs? A Primer for Macroeconomists

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econ.EM2024

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…