A Note on Variance Decomposition with Local Projections

60 Pages Posted: 6 Nov 2017 Last revised: 28 Jul 2024

See all articles by Yuriy Gorodnichenko

Yuriy Gorodnichenko

University of California, Berkeley - Department of Economics; National Bureau of Economic Research (NBER); IZA Institute of Labor Economics

Byoungchan Lee

Hong Kong University of Science & Technology (HKUST) - Department of Economics

Date Written: November 2017

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.

Suggested Citation

Gorodnichenko, Yuriy and Lee, Byoungchan, A Note on Variance Decomposition with Local Projections (November 2017). NBER Working Paper No. w23998, Available at SSRN: https://ssrn.com/abstract=3065809

Yuriy Gorodnichenko (Contact Author)

University of California, Berkeley - Department of Economics ( email )

549 Evans Hall #3880
Berkeley, CA 94720-3880
United States

HOME PAGE: http://www.econ.berkeley.edu/~ygorodni/index.htm

National Bureau of Economic Research (NBER) ( email )

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Cambridge, MA 02138
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IZA Institute of Labor Economics ( email )

P.O. Box 7240
Bonn, D-53072
Germany

Byoungchan Lee

Hong Kong University of Science & Technology (HKUST) - Department of Economics ( email )

Clear Water Bay
Kowloon, Hong Kong
Hong Kong

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