Forecast Error Variance Decompositions with Local Projections

Yuriy Gorodnichenko and Byoungchan Lee

Department of Economics, Working Paper Series from Department of Economics, Institute for Business and Economic Research, UC Berkeley

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.

Keywords: Mathematical Sciences; Economics; Commerce; Management; Tourism and Services; Econometrics (search for similar items in EconPapers)
Date: 2020-10-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (24)

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Journal Article: Forecast Error Variance Decompositions with Local Projections (2020)
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