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Optimal Policy With Noisy Sufficient Statistics
José Luis Montiel Olea, Mikkel Plagborg-Møller, Christian K. Wolf
We study how policy-makers should set policy instruments so as to best hit (perhaps dynamic) targets, in a linear-quadratic model where there is statistical uncertainty abo…
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…
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…