Functional Linear Projection and Impulse Response Analysis
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866909571156541440 |
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| author | Seo, Won-Ki Seong, Dakyung |
| author_facet | Seo, Won-Ki Seong, Dakyung |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_08364 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Functional Linear Projection and Impulse Response Analysis Seo, Won-Ki Seong, Dakyung Econometrics 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. |
| title | Functional Linear Projection and Impulse Response Analysis |
| topic | Econometrics |
| url | https://arxiv.org/abs/2503.08364 |