State-dependent local projections

被引：4
|
作者：
Gonçalves S. [1 ]
Herrera A.M. [2 ]
Kilian L. [3 ]
Pesavento E. [4 ]
机构：
[1] McGill University, Department of Economics, 855 Sherbrooke St. W., Montré al, Québec
[2] University of Kentucky, Department of Economics, 550 South Limestone, Lexington, 40506-0034, KY
[3] Federal Reserve Bank of Dallas, Research Department, 2200 N. Pearl St, Dallas, 75201, TX
[4] Emory University, Economics Department, 1602 Fishburne Dr., Atlanta, 30322, GA
来源：
Journal of Econometrics | 2024年 / 244卷 / 02期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Business cycle; Identification; Impulse response; Local projection; Multiplier; Nonlinear structural model; Potential outcomes model; State-dependence; Threshold;
D O I：
10.1016/j.jeconom.2024.105702
中图分类号：
学科分类号：
摘要：
Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the shocks. When the state is exogenous, the local projection estimator recovers the population response regardless of the shock size. When the state depends on macroeconomic shocks, as is common in empirical work, local projections only recover the conditional response to an infinitesimal shock, but not the responses to larger shocks of interest in many applications. Simulations suggest that impulse responses may be off by as much as 82 percent and fiscal multipliers by as much as 40 percent. © 2024
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