NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

A Note on Variance Decomposition with Local Projections

Yuriy Gorodnichenko, Byoungchan Lee

NBER Working Paper No. 23998
Issued in November 2017
NBER Program(s):Economic Fluctuations and Growth, Monetary Economics, Technical Working Papers

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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Document Object Identifier (DOI): 10.3386/w23998

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