A Note on Variance Decomposition with Local Projections

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

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Year of publication:	2017
Authors:	Gorodnichenko, Yuriy
Other Persons:	Lee, Byoungchan (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Dekompositionsverfahren \| Decomposition method \| Varianzanalyse \| Analysis of variance

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Extent:	1 Online-Ressource (60 p)
Series:	NBER Working Paper ; No. w23998
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2017 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012944147