Econ Papers Daily / 期刊论文
局部投影的双重稳健性与一些令人不快的VAR算术
Double Robustness of Local Projections and Some Unpleasant VARithmetic
摘要
We consider impulse response inference in a locally misspecified vector autoregression (VAR) model. 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. This result follows from a “double robustness” property analogous to that of popular partially linear regression estimators. By contrast, the conventional VAR confidence interval with short‐to‐moderate lag length can severely undercover for misspecification that is small, difficult to detect statistically, and cannot be ruled out based on economic theory. The VAR confidence interval has robust coverage if, and only if, the lag length is so large that the interval is as wide as the LP interval.
中文摘要
本文探讨了在局部误设定的向量自回归（VAR）模型中脉冲响应推断的问题。传统的局部投影（LP）置信区间即使在误设定程度大到能以趋近于1的概率被检测到时，仍能保持正确的覆盖率。这一结果源于一种与流行的部分线性回归估计量相似的“双重稳健性”性质。相比之下，采用短至中等滞后长度的传统VAR置信区间，在面对较小、难以从统计上检测且无法基于经济理论排除的误设定时，可能严重低估覆盖率。VAR置信区间只有在滞后长度足够大，使其区间宽度与LP区间相当时，才具有稳健的覆盖率。