no code implementations • 15 May 2024 • José Luis Montiel Olea, Mikkel Plagborg-Møller, Eric Qian, Christian K. Wolf
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.
no code implementations • 29 Dec 2023 • José Luis Montiel Olea, Chen Qiu, Jörg Stoye
We apply classical statistical decision theory to a large class of treatment choice problems with partial identification, revealing important theoretical and practical challenges but also interesting research opportunities.
no code implementations • 16 Apr 2021 • Marco Avella Medina, José Luis Montiel Olea, Cynthia Rush, Amilcar Velez
To make this point, we derive a Bernstein-von Mises theorem showing convergence in total variation distance of $\alpha$-posteriors and their variational approximations to limiting Gaussian distributions.
1 code implementation • 27 Jul 2020 • José Luis Montiel Olea, Mikkel Plagborg-Møller
Applied macroeconomists often compute confidence intervals for impulse responses using local projections, i. e., direct linear regressions of future outcomes on current covariates.