Forecast Error Variance Decompositions with Local Projections

By Y. Gorodnichenko, Byoung-Wu Lee. Journal of business & economic statistics, 2019

53 citations recorded by the source corpus.

Abstract 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.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/87b88a06f378f58534cfcb5f759bed70498d7360

Citations in the corpus

• Bias in Local Projections (2020, unknown): “We close our analysis with an empirical illustration of our bias correction using a setup similar to Gorodnichenko and Lee (2019).”