We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S. macroeconomic data. Our analysis considers various...

We consider impulse response inference in a locally misspecified stationary 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...

In a rich family of linearized structural macroeconomic models, the counterfactual evolution of the macro-economy under alternative policy rules is pinned down by just two objects: first, reduced-form projections with respect to a large information set; and second, the dynamic causal effects of...