Forecast Error Variance Decompositions with Local Projections

被引：21

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.

引用

页码：921 / 933

页数：13

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