arXiv 27 Apr 2022 · Econometrics · 11 citations (OpenAlex)
arXiv:2204.13150 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a flexible local projection that generalizes the model by Jord\'a (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application shows that the fiscal multiplier is stronger in recession than in expansion only in response to contractionary fiscal shocks, but not in response to expansionary fiscal shocks. We then show that financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock is negative, but not when the shock is positive.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jordà (2005) `Estimation and inference of impulse responses by local projections', American Economic Review 95(1), 161–182 | 1.000 | 12 | 5 | 100% |
| 2 | Ramey \ Zubairy (2018) `Government spending multipliers in good times and in bad: Evidence from US historical data', Journal of Political Economy 126(2… | 1.000 | 11 | 4 | 100% |
| 3 | Auerbach \ Gorodnichenko (2013) Fiscal multipliers in recession and expansion, in A. Alesina \ F. Giavazzi, eds, `Fiscal policy after the financial crisis', Uni… | 1.000 | 6 | 4 | 100% |
| 4 | Forni, Gambetti, Maffei-Faccioli \ Sala (2021) `Nonlinear transmission of financial shocks: Some new evidence' | 1.000 | 5 | 3 | 100% |
| 5 | Chipman, George \ McCulloch (2010) `BART: Bayesian additive regression trees', The Annals of Applied Statistics 4(1), 266–298 | 0.874 | 10 | 2 | 100% |
| 6 | Auerbach \ Gorodnichenko (2013) `Output spillovers from fiscal policy', American Economic Review 103(3), 141–46 | 0.874 | 5 | 2 | 100% |
| 7 | Lusompa (2021) `Local Projections, Autocorrelation, and Efficiency', (RWP 21-01) | 0.874 | 5 | 2 | 100% |
| 8 | Barnichon \ Brownlees (2019) `Impulse Response Estimation by Smooth Local Projections', The Review of Economics and Statistics 101(3), 522–530 | 0.644 | 2 | 2 | 100% |
| 9 | Huber, Koop, Onorante, Pfarrhofer \ Schreiner (2020) `Nowcasting in a pandemic using non-parametric mixed frequency VARs', Journal of Econometrics | 0.644 | 2 | 2 | 100% |
| 10 | Plagborg-Mller \ Wolf (2021) `Local Projections and VARs Estimate the Same Impulse Responses', Econometrica 89(2), 955–980 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 28 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 0.09cm 24.9522 dpd Opening the Black Box of Local Projections . 0.4cm | 0.928 | 4 | 3 |
| 2 | Machine Learning the Macroeconomic Effects of Financial Shocks | 0.843 | 3 | 3 |
| 3 | Bayesian Neural Networks for Macroeconomic Analysis | 0.644 | 2 | 2 |
| 4 | Asymmetries in Financial Spillovers | 0.644 | 2 | 2 |
| 5 | Bayesian Nonlinear Regression using Sums of Simple Functions | 0.511 | 2 | 1 |
| 6 | Let the Tree Decide: FABART A Non-Parametric Factor Model | 0.405 | 1 | 1 |