4 papers · 1 filter
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.…
Sparse VARs Do Not Imply Sparse Local Projections: Robust Inference for High-Dimensional Granger Causality
Eugene Dettaa, Endong Wang
This paper studies multi-horizon Granger causality using high-dimensional local projections in sparse Vector Autoregressive (VAR) systems. Since local projection coefficients are n…
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…
Local projections identify the same policy counterfactuals as empirical and structural models
Endong Wang
We study policy counterfactuals that impose path restrictions on a policy instrument over a finite window. Under a sequential intervention design, we define two counterfactual obje…