Further processing options
available via Open Access

Micro responses to macro shocks

Saved in:

Bibliographic Details
Authors and Corporations: Almuzara, Martín (Author), Sancibrián, Victor (Author)
Other Authors: Sancibrián, Victor [Author]
Type of Resource: E-Book
Language: English
published:
Series: Federal Reserve Bank of New York: Staff reports ; no. 1090 (March 2024)
Subjects:
panel data
local projections
impulse responses
aggregate shocks
inference
heterogeneity
Graue Literatur
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: We study estimation and inference in panel data regression models when the regressors of interest are macro shocks, which speaks to a large empirical literature that targets impulse responses via local projections. Our results hold under general dynamics and are uniformly valid over the degree of signal-tonoise of aggregate shocks. We show that the regression scores feature strong cross-sectional dependence and a known autocorrelation structure induced only by leads of the regressor. In general, including lags as controls and then clustering over the cross-section leads to simple, robust inference.
Physical Description: 1 Online-Ressource (circa 54 Seiten); Illustrationen
DOI: 10.59576/sr.1090