3 papers
econ.EM2026
Heterogeneity-robust granular instruments
Eric Qian
Granular instrumental variables (GIV) has experienced sharp growth in empirical macro-finance. The methodology's rise showcases granularity's potential for identification across ma…
econ.EM2026
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…
econ.EM2025
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…