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Olea, José Luis Montiel - In: Econometric theory 36 (2020) 2, pp. 347-366

Persistent link: https://www.econbiz.de/10012193758

(Machine) learning parameter regions

Olea, José Luis Montiel; Nesbit, James - In: Journal of econometrics 222 (2021) 1,3, pp. 716-744

Persistent link: https://www.econbiz.de/10012619782

A/B testing with fat tails

Azevedo, Eduardo M.; Deng, Alex; Olea, José Luis Montiel; … - In: Journal of political economy 128 (2020) 12, pp. 4614-4672

Persistent link: https://www.econbiz.de/10012600135

SVAR identification from higher moments : has the simultaneous causality problem been solved?

Olea, José Luis Montiel; Plagborg-Møller, Mikkel; … - In: AEA papers and proceedings 112 (2022), pp. 481-485

Persistent link: https://www.econbiz.de/10013254288

Inference in structural Vector Autoregressions identified with an external instrument

Olea, José Luis Montiel; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 225 (2021) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10013279009

Posterior distribution of nondifferentiable functions

Kitagawa, Toru; Olea, José Luis Montiel; Payne, Jonathan; … - In: Journal of econometrics 217 (2020) 1, pp. 161-175

Persistent link: https://www.econbiz.de/10012482743

Empirical bayes estimation of treatment effects with many A/B tests : an overview

Azevedo, Eduardo M.; Deng, Alex; Olea, José Luis Montiel; … - In: AEA papers and proceedings 109 (2019), pp. 43-47

Persistent link: https://www.econbiz.de/10012395661

Marginal tax rates and income : new time series evidence

Mertens, Karel; Olea, José Luis Montiel - In: The quarterly journal of economics 133 (2018) 4, pp. 1803-1884

Persistent link: https://www.econbiz.de/10012259433

Double Robustness of Local Projections and Some Unpleasant VARithmetic

Olea, José Luis Montiel; Plagborg-Møller, Mikkel; … - National Bureau of Economic Research - 2024

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...

Persistent link: https://www.econbiz.de/10014544773

Competing models

Olea, José Luis Montiel; Ortoleva, Pietro; Pai, Mallesh M. - In: The quarterly journal of economics 137 (2022) 4, pp. 2419-2457

Persistent link: https://www.econbiz.de/10013400051