Max-share misidentification

• Main Authors: DOU, Liyu, HO, Paul, LUBIK, Thomas
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2024
• Subjects: max-share identification; forecast error variance; impulse responses; single horizon approach; structural shocks; transitory shocks; news shock application; demand-and-supply example; variance decomposition; econometric methods; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2796; https://ink.library.smu.edu.sg/context/soe_research/article/3795/viewcontent/Max_Share_Misidentification.pdf
• Institution: Singapore Management University

Max-share identification relies on a decomposition of the forecast error variance (FEV) over a target horizon, often conflating multiple shocks due to dependence on impulse responses at untargeted horizons and the shapes of responses to untargeted shocks. This paper introduces a "single horizon...