Forecast Error Variance Decompositions with Local Projections

DOI10.1080/07350015.2019.1610661MaRDI QIDQ6626366zbMATH OpenFDO

Authors 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

• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Large Sample Properties of Generalized Method of Moments Estimators
• Local projections and VARs estimate the same impulse responses
• Mean and variance of \(R^ 2\) in small and moderate samples
• Structural vector autoregressive analysis

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