3 papers
econ.EM2025
Local Projections Bootstrap Inference
MarÃa Dolores Gadea, Ãscar JordÃ
Bootstrap procedures for local projections typically rely on assuming that the data generating process (DGP) is a finite order vector autoregression (VAR), often taken to be that i…
econ.EM2025
Uniform Validity of the Subset Anderson-Rubin Test under Heteroskedasticity and Nonlinearity
Atsushi Inoue, Ãscar JordÃ, Guido M. Kuersteiner
We consider the Anderson-Rubin (AR) statistic for a general set of nonlinear moment restrictions. The statistic is based on the criterion function of the continuous updating estima…
econ.EM2024
Inference for Local Projections
Atsushi Inoue, Ãscar JordÃ, Guido M. Kuersteiner
Inference for impulse responses estimated with local projections presents interesting challenges and opportunities. Analysts typically want to assess the precision of individual es…