Double Robustness of Local Projections and Some Unpleasant VARithmetic
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https://www.nber.org/papers/w32495
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资源简介：
We consider impulse response inference in a locally misspecified vector autoregression (VAR) model. The conventional local projection (LP) confidence interval has correct coverage even when the misspecification is so large that it can be detected with probability approaching 1. This result follows
提供机构：
美国国家经济研究局
创建时间：
2024-05-01
