每日简报

局部投影识别与经验及结构模型相同的政策反事实AI 解读

We study policy counterfactuals that impose path restrictions on a policy instrument over a finite window. Under a sequential intervention design, we define two counterfactual objects, policy-peg impulse responses and policy-path effects, and we provide a novel local projection identification method. Under policy invariance and a linear moving average envelope, the local projection estimands coincide with the counterfactual outcomes implied by empirical vector…

稀疏 VAR 不意味着稀疏局部投影：高维 Granger 因果的稳健推断AI 解读

This paper studies multi-horizon Granger causality using high-dimensional local projections in sparse Vector Autoregressive (VAR) systems. Since local projection coefficients are nonlinear transformations of the underlying VAR parameters, existing approaches, such as de-biased least absolute shrinkage and selection operator (LASSO) and post-double-selection methods applied directly to local projections, lack a general justification, as sparsity of the VAR does not always…