University of California, Berkeley
Department of Economics
Institutional Affiliation: University of California at Berkeley
NBER Working Papers and Publications
|November 2017||A Note on Variance Decomposition with Local Projections|
with Yuriy Gorodnichenko: w23998
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.