Forecast Error Variance Decompositions with Local Projections. Issue 4 (1st October 2020)

• Record Type: Journal Article
• Authors: Gorodnichenko, Yuriy; Lee, Byoungchan
• Is Part Of: Journal of business & economic statistics. Volume 38:Issue 4(2020)
• Page Start: 921
• Page End: 933
• Publication Date: 2020-10-01
• Subjects: Economics -- Statistical methods -- Periodicals; Commercial statistics -- Periodicals; Économie politique -- Méthodes statistiques -- Périodiques; Statistique commerciale -- Périodiques; 330.015195
• DOI: 10.1080/07350015.2019.1610661
• Languages: English
• ISSNs: 0735-0015

Abstract

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.