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A Note on Variance Decomposition with Local Projections
 
Yuriy Gorodnichenko, Byoungchan Lee
 
 
Abstract:
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.