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Dake Li

Quantitative Researcher · Two Sigma Investments

Quantitative researcher at Two Sigma Investments working on systematic macro strategies. Princeton PhD in economics (2022); fields are time-series econometrics, empirical macroeconomics and finance.

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Published Classic Journal of Econometrics Published Sep 2024

Local Projections vs. VARs: Lessons from Thousands of DGPs

Dake Li · Mikkel Plagborg-Møller · Christian K. Wolf

This 2024 Journal of Econometrics paper by Dake Li, Mikkel Plagborg-Møller, and Christian K. Wolf asks a purely practical question rather than proposing a new estimator or identification scheme: when …

Local Projections Structural Var