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econ.EM2025
Causal mechanism and mediation analysis for macroeconomics dynamics: a bridge of Granger and Sims causality
Jean-Marie Dufour, Endong Wang
This paper introduces a novel concept of impulse response decomposition to disentangle the dynamic contributions of the mediator variables in the transmission of structural shocks.…
econ.EM2024
Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality
Jean-Marie Dufour, Endong Wang
This paper introduces a novel two-stage estimation and inference procedure for generalized impulse responses (GIRs). GIRs encompass all coefficients in a multi-horizon linear proje…