Forecast Error Variance Decompositions with Local Projections

被引：25
|
作者：
Gorodnichenko, Yuriy [1 ,2 ]
Lee, Byoungchan [3 ]
机构：
[1] Univ Calif Berkeley, Dept Econ, 3880,Evans Hall 530, Berkeley, CA 94720 USA
[2] Natl Bur Econ Res, 1050 Massachusetts Ave, Cambridge, MA 02138 USA
[3] Hong Kong Univ Sci & Technol, Dept Econ, Kowloon, Clear Water Bay, Hong Kong, Peoples R China
来源：
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2020年 / 38卷 / 04期
关键词：
MONETARY-POLICY; SHOCKS; HETEROSKEDASTICITY;
D O I：
10.1080/07350015.2019.1610661
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We propose and study properties of an estimator of the forecast error variance decomposition in the local projections framework. We find for empirically relevant sample sizes that, after being bias-corrected with bootstrap, our estimator performs well in simulations. We also illustrate the workings of our estimator empirically for monetary policy and productivity shocks. KEYWORDS: Forecast error variance decomposition; Local projections.
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页码：921 / 933
页数：13
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