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Found 4 papers, 1 papers with code
Double Robustness of Local Projections and Some Unpleasant VARithmetic
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.
Decision Theory for Treatment Choice Problems with Partial Identification
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.
On the Robustness to Misspecification of $α$-Posteriors and Their Variational Approximations
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.
Local Projection Inference is Simpler and More Robust Than You Think
Applied macroeconomists often compute confidence intervals for impulse responses using local projections, i. e., direct linear regressions of future outcomes on current covariates.
