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
References: Add references at CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
https://www.escholarship.org/uc/item/8w31z6qx.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: Forecast Error Variance Decompositions with Local Projections (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cdl:econwp:qt8w31z6qx

Access Statistics for this paper

More papers in Department of Economics, Working Paper Series from Department of Economics, Institute for Business and Economic Research, UC Berkeley Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().