Impulse Responses, VARs and Local projections
Holder： Ke-Li Xu（Indiana University Bloomington）
Time：2025-06-25 10:00-11:30
Location：Room 217, Guanghua Building 2
Abstract:
This paper provides the uniform asymptotic theory for local projection (LP) regression when the true lag order of the model is unknown, possibly infinity. The theory allows for various persistence levels of the data, growing response horizons, and general conditionally heteroskedastic martingale-difference shocks. Based on the theory, we make two contributions. First, we show that LPs can be semiparametrically efficient under classical assumptions on data and horizons if the controlled lag order diverges. Thus the commonly perceived efficiency loss of running LPs can be asymptotically negligible with many controls. Second, we propose LP-based inferences for (level and cumulated) impulse responses with robustness properties not shared by other existing methods. Inference methods using two different standard errors are considered, and neither involves HAR-type correction. The uniform validity for the first method depends on a zero fourth-order cumulant condition on shocks, while the validity for the second holds more generally for martingale-difference heteroskedastic shocks.
About the Speaker:
徐克力现任美国印第安纳大学（布卢明顿）经济系教授，硕士生项目主任，研究方向计量经济学，包括时间序列理论方法及其在宏观经济学和金融学的应用，因果推断分析，和非参数半参数模型。徐克力教授曾任教于美国得州农工大学（大学城）经济系以及加拿大阿尔伯塔大学商学院，现任Journal of Econometrics期刊Fellow及Journal of Business & Economic Statistics, Econometric Reviews副主编,曾任美国国家基金会（NSF）经济学科评审委员会理事。徐克力教授获美国耶鲁大学博士学位，本科和硕士就读于武汉大学和中国科技大学。
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