26 citations · 26 across the 2 of their papers we have counts for
2 papers
econ.EM2021★ 26 cited
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…
econ.EM2020
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…