全球智库信息集成服务系统(G2TT): DP7277 Quantifying Quantitative Literacy: Age Heaping and the History of Human Capital

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP7277
	DP7277 Quantifying Quantitative Literacy: Age Heaping and the History of Human Capital
	Jörg Baten; Dorothee Crayen; Brian A'Hearn
发表日期	2009-04-19
出版年	2009
语种	英语
摘要	It is well documented that the small-sample accuracy of asymptotic and bootstrap approximations to the pointwise distribution of VAR impulse response estimators is undermined by the estimator?s bias. A natural conjecture is that impulse response estimators based on the local projection (LP) method of Jordà (2005, 2007) are less susceptible to this problem and hence potentially more reliable in small samples than VAR-based estimators. We show that - contrary to this conjecture - LP estimators tend to have both higher bias and higher variance, resulting in pointwise impulse response confidence intervals that are typically less accurate and wider on average than suitably constructed VAR-based intervals. Bootstrapping the LP estimator only worsens its finite-sample accuracy. We also evaluate recently proposed joint asymptotic intervals for VAR and LP impulse response functions. Our analysis suggests that the accuracy of joint intervals can be erratic in practice, and neither joint interval is uniformly preferred over the other.
主题	International Macroeconomics
关键词	Bias Confidence interval Impulse response function Joint interval Local projection Vector autoregression
URL	https://cepr.org/publications/dp7277
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/536114
推荐引用方式 GB/T 7714	Jörg Baten,Dorothee Crayen,Brian A'Hearn. DP7277 Quantifying Quantitative Literacy: Age Heaping and the History of Human Capital. 2009.