This paper applies classical statistical decision theory (Wald 1950) to treatment choice problems where the data only partially identify payoff-relevant parameters. The policy maker chooses an action …
This paper provides formal theoretical results on the relative robustness of local projection (LP) and vector autoregression (VAR) confidence intervals for impulse response inference when the data …
This 2021 Econometrica paper by José Luis Montiel Olea and Mikkel Plagborg-Møller studies what inference procedure applied researchers should use for local-projection (LP) estimates of impulse …
PublishedClassicJournal of Applied EconometricsPublished Jan 2019
This 2019 Journal of Applied Econometrics paper by José Luis Montiel Olea and Mikkel Plagborg-Møller addresses a practical problem in applied time-series econometrics: which "simultaneous" (joint, …