Jose L. Montiel Olea 's repositories
Lag-augmented_LocalProjections
Inference on impulse responses using local projection or VAR methods, with or without lag augmentation.
Courses-IntroEconometrics-Ph.D
This course provides a graduate level introduction to probability and statistics. The course was designed for economists starting their doctoral education. Edits, comments, and suggestions are welcome.
SVARIV
This repository contains a Matlab suite to construct weak-instrument robust confidence intervals for impulse response coefficients in Structural Vector Autoregressions identified with an external instrument. See "Inference in Structural Vector Autoregressions identified by an external instrument" by J.L Montiel Olea, J. H. Stock, and M. W. Watson (2018) .
Courses-TimeSeries-Undergraduate
This course will provide a basic, yet rigorous, introduction to Time Series Econometrics. This course is intended for upper-level undergraduates and beginning M.A./M.S. students.
Confidence_Bands
This repository contains a Matlab suite to implement the sup-t band and other popular simultaneous confidence bands in the environment described in the paper "Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs", by Jose Luis Montiel Olea and Mikkel Plagborg-Møller; Journal of Applied Econometrics, 2018.
EmpiricalBayesCounterfactuals
Empirical Bayes Counterfactuals in Poisson Regression with an Application to Police Use of Deadly Force