摘要翻译:
我们提供的证据表明,著名文学作品使用的许多叙事冲击是持续的。我们表明,估计对独立识别的冲击的脉冲响应的两种主要方法(局部投影和分布滞后模型)对持久性的处理是不同的,因此识别了不同的对象。我们提出修正来重新建立局部预测和分布滞后模型之间的等价性,为应用研究人员提供估计他们所期望的感兴趣对象的方法和指导。我们将这些方法应用到著名的经验工作中,发现如何对待持久性对动态效应的估计有相当大的影响。
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英文标题:
《Dynamic Effects of Persistent Shocks》
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作者:
Mario Alloza, Jesus Gonzalo and Carlos Sanz
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最新提交年份:
2020
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Economics 经济学
二级分类:General Economics 一般经济学
分类描述:General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类:Quantitative Finance 数量金融学
二级分类:Economics 经济学
分类描述:q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学,包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要:
We provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag models) treat persistence differently, hence identifying different objects. We propose corrections to re-establish the equivalence between local projections and distributed lag models, providing applied researchers with methods and guidance to estimate their desired object of interest. We apply these methods to well-known empirical work and find that how persistence is treated has a sizable impact on the estimates of dynamic effects.
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PDF链接:
https://arxiv.org/pdf/2006.14047