Forecast Error Variance Decompositions with Local Projections

DOI10.1080/07350015.2019.1610661zbMATH Open1547.62736MaRDI QIDQ6626366FDOQ6626366

Yuriy Gorodnichenko, Byoungchan Lee

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Structural Vector Autoregressive Analysis
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Mean and variance of \(R^ 2\) in small and moderate samples
• Local Projections and VARs Estimate the Same Impulse Responses

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