Econometric Analysis of Macroeconomic Functional Data
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.
Date: 6 June 2025, 14:15
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Seminar Room C
Speaker: Won-Ki Seo (University of Sydney)
Organising department: Department of Economics
Part of: Nuffield Econometrics Seminar
Booking required?: Not required
Audience: Members of the University only
Editor: Edward Clark