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Forecast Error Variance Decompositions with Local Projections
Journal of Business & Economic Statistics ( IF 3 ) Pub Date : 2019-07-18 , DOI: 10.1080/07350015.2019.1610661
Yuriy Gorodnichenko 1, 2 , Byoungchan Lee 3
Affiliation  

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.



中文翻译:

用局部投影预测误差方差分解

摘要

我们提出并研究了局部投影框架中预测误差方差分解的估计量的性质。我们发现,与经验相关的样本大小在通过自举进行偏差校正后,我们的估算器在模拟中表现良好。我们还根据经验说明了估算员在货币政策和生产率冲击方面的工作方式。关键词:预测误差方差分解 局部预测。

更新日期:2019-07-18
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