Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels

Chi-Young Choi and Alexander Chudik

No 423, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: This paper develops Mean Group Distributed Lag (MGDL) estimation of impulse responses of common shocks in large panels with one or two cross-section dimensions. We derive sufficient conditions for asymptotic normality, and document satisfactory small sample performance using Monte Carlo experiments. Three empirical illustrations showcase the usefulness of MGDL estimators: crude oil price pass-through to U.S. city- and product-level retail prices; retail price effects of U.S. monetary policy shocks; and house price effects of U.S. monetary policy shocks.

Keywords: panel data; impulse response functions; estimation; inference; Mean Group Distributed Lag (MGDL) (search for similar items in EconPapers)
JEL-codes: C23 E52 (search for similar items in EconPapers)
Pages: 35
Date: 2023-09-22, Revised 2024-05-08
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:96908

DOI: 10.24149/gwp423r1

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