Working Paper Revision
Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels
Abstract: This paper develops Mean Group Distributed Lag (MGDL) estimation of impulse responses of common shocks in large panels with one or two cross-section dimensions. We derive sufficient conditions for asymptotic normality, and document satisfactory small sample performance using Monte Carlo experiments. Three empirical illustrations showcase the usefulness of MGDL estimators: crude oil price pass-through to U.S. city- and product-level retail prices; retail price effects of U.S. monetary policy shocks; and house price effects of U.S. monetary policy shocks.
Keywords: panel data; impulse response functions; estimation; inference; Mean Group Distributed Lag (MGDL);
https://doi.org/10.24149/gwp423r1
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Provider: Federal Reserve Bank of Dallas
Part of Series: Globalization Institute Working Papers
Publication Date: 2024-05-08
Number: 423
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- Working Paper Revision: Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels