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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 in large panels with one or two cross-section dimensions. Sufficient conditions for asymptotic consistency and asymptotic normality are derived, and satisfactory small sample performance is documented using Monte Carlo experiments. MGDL estimators are used to estimate the effects of crude oil price increases on U.S. city- and product-level retail prices.

Keywords: panel data; impulse response functions; estimation; inference; Mean Group Distributed Lag (MGDL);

JEL Classification: C23;

https://doi.org/10.24149/gwp423

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Provider: Federal Reserve Bank of Dallas

Part of Series: Globalization Institute Working Papers

Publication Date: 2023-09-22

Number: 423

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