A Note on Variance Decomposition with Local Projections

Yuriy Gorodnichenko and Byoungchan Lee

No 23998, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We propose and study properties of several estimators of variance decomposition in the local-projections framework. We find for empirically relevant sample sizes that, after being bias corrected with bootstrap, our estimators perform well in simulations. We also illustrate the workings of our estimators empirically for monetary policy and productivity shocks.

JEL-codes: C53 E37 E47 (search for similar items in EconPapers)
Date: 2017-11
New Economics Papers: this item is included in nep-ecm and nep-mac
Note: EFG ME TWP
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Citations: View citations in EconPapers (18)

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Working Paper: A Note on Variance Decomposition with Local Projections (2017)
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