3 papers
econ.EM2026
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…
econ.EM2026
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…
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.…