Double Robustness of Local Projections and Some Unpleasant VARithmetic
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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
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美国国家经济研究局创建时间：
2024-05-01
