Local projections in unstable environments

IF 9.9 3区 经济学 Q1 ECONOMICS
Atsushi Inoue , Barbara Rossi , Yiru Wang
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引用次数: 0

Abstract

This paper develops a local projection estimator for estimating impulse responses in the presence of time variation. Importantly, we allow local instabilities in both slope coefficients and variances. Monte Carlo simulations illustrate that the method performs well in practice. Using our proposed estimator, we shed new light on the effects of fiscal policy shocks and the size of government spending multipliers. Our analysis uncovers the existence of instabilities that were unaccounted for in previous studies, and links time variation in the multipliers to the size of government debt.
不稳定环境中的局部投影
本文开发了一种局部投影估计器,用于估计存在时间变化的脉冲响应。重要的是,我们允许斜率系数和方差都存在局部不稳定性。蒙特卡罗模拟表明,该方法在实践中表现良好。利用我们提出的估计方法,我们对财政政策冲击的影响和政府支出乘数的大小有了新的认识。我们的分析揭示了以往研究中没有考虑到的不稳定性的存在,并将乘数的时间变化与政府债务规模联系起来。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Econometrics
Journal of Econometrics 社会科学-数学跨学科应用
CiteScore
8.60
自引率
1.60%
发文量
220
审稿时长
3-8 weeks
期刊介绍: The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.
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