arXiv 11 Mar 2025 · Econometrics
arXiv:2503.08364 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes econometric methods for studying how economic variables respond to function-valued shocks. Our methods are developed based on linear projection estimation of predictive regression models with a function-valued predictor and other control variables. We show that the linear projection coefficient associated with the functional variable allows for the impulse response interpretation in a functional structural vector autoregressive model under a certain identification scheme, similar to well-known Sims' (1972) causal chain, but with nontrivial complications in our functional setup. A novel estimator based on an operator Schur complement is proposed and its asymptotic properties are studied. We illustrate its empirical applicability with two examples involving functional variables: economy sentiment distributions and functional monetary policy shocks.
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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 | Inoue, A. and B. Rossi (2021) A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy | 1.000 | 23 | 4 | 100% |
| 2 | Jordà, O (2005) Estimation and inference of impulse responses by local projections | 1.000 | 10 | 3 | 100% |
| 3 | Shin, H (2009) Partial functional linear regression | 1.000 | 8 | 4 | 100% |
| 4 | Barbaglia, L., S. Consoli, and S. Manzan (2023) Forecasting with economic news | 1.000 | 8 | 3 | 100% |
| 5 | Mas, A (2007) Weak convergence in the functional autoregressive model | 0.843 | 4 | 3 | 75% |
| 6 | Plagborg-Møller, M. and C. K. Wolf (2021) Local projections and VARs estimate the same impulse responses | 0.843 | 3 | 3 | 100% |
| 7 | Hall, P. and J. L. Horowitz (2007) Methodology and convergence rates for functional linear regression | 0.811 | 4 | 2 | 100% |
| 8 | Sims, C. A (1972) Money, income, and causality | 0.811 | 4 | 2 | 100% |
| 9 | Florens, J.-P. and S. Van Bellegem (2015) Instrumental variable estimation in functional linear models | 0.737 | 4 | 2 | 75% |
| 10 | Aneiros-Pérez, G. and P. Vieu (2006) Semi-functional partial linear regression | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 91 scored citations.