Tag: Wald Test

Joint Inference in LP: Wald Tests and Simultaneous Confidence Bands

Joint Inference in LP: Wald Tests and Simultaneous Confidence Bands A response curve can have a 95% simultaneous confidence band that includes zero at every horizon and still…

Statistical Difference between Regimes in State-Dependent Local Projections using XTLP

Before diving in this blog, I recommend you to read that previous blog below: Quite frequently, we have to estimate state-dependent local projection (SLP) in applied economics. Recent…

Statistical Difference between Regimes in State-Dependent Local Projections using LOCPROJ

In a previous blog, I covered the estimation of state-dependent local projection using LOCPROJ. The impact of random shocks of change in vulnerability affects positively the sovereign bond…