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Forecast Error Variance Decompositions with Local Projections
Published Web Location
http://eml.berkeley.edu/~ygorodni/GL_vardecomp.pdfNo data is associated with this publication.
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.
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