Forecast Error Variance Decompositions with Local Projections
提出了一种在局部投影框架下估计预测误差方差分解的方法，并通过自助法校正偏差，在模拟中表现良好，还用于分析货币政策和生产率冲击。
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.