NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Byoungchan Lee

University of California, Berkeley
Department of Economics
Berkeley, CA

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: University of California at Berkeley

NBER Working Papers and Publications

November 2017A 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.
 
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