新葡京官方

会议时间：2025年6月23日14:00-15:30（周一）

会议地点：明德主楼734

主讲人：徐克力  印第安纳大学经济系教授

主持人：马骏副教授

主题：Local Projection Based Inference under General Conditions

讲座简介：

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.

个人简介：

徐克力，印第安纳大学经济学教授。2007年获耶鲁大学经济学博士学位。研究方向为计量经济学（宏观与金融时间序列，因果推断，非/半参数方法）。论文发表在Journal of Econometrics、Review of Financial Studies、Econometric Theory等期刊。此外，徐教授是《Journal of Econometrics》期刊fellow，Econometric Theory Multa Scripsit奖获得者，《Journal of Business & Economic Statistics 》和《Econometric Reviews》副主编。