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计量金融与大数据分析workshop：Functional VAR
发布日期：2024-03-15 12:00 来源：
题目：Functional VAR
摘要：This paper models the joint dynamics of macro aggregates and functional variables within the Structural VAR framework. I reduce the dimension of the system using functional PCA and show that the proposed functional VAR (FVAR) consistently recovers the responses of the functions. The FVAR is easy to implement and fully compatible with conventional SVAR tools. Simulation evidence shows that it performs satisfactorily in finite samples. Applying FVAR to study the impact of tax shocks on income distributions in the UK, I find that tax cuts persistently reduce the density of lower-middle-class households, which is offset by a substantial increase in the richer range and a moderate increase in the poorer range. However, this pattern is not captured by VARs with conventional inequality measures.
主讲人：Jiaming Huang, Universitat Pompeu Fabra and Barcelona School of Economics
主持人：（国发院）黄卓、张俊妮、孙振庭
（北大新结构经济学研究院）胡博
（经济学院）王一鸣、王熙、刘蕴霆、王法
时间：2024年3月15日（周五）10:00 AM -- 11:30 AM
地点：经济学院107
主讲人简介：
Dr Jiaming Huang is currently interested in econometrics and macroeconomics. His research studies specialize in unobserved heterogeneity, clustering, functional data analysis, machine learning, heterogeneous agent models, monetary policy, inequality, and economic risks.
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首页
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计量金融与大数据分析workshop：Functional VAR
发布日期：2024-03-15 12:00 来源：
题目：Functional VAR
摘要：This paper models the joint dynamics of macro aggregates and functional variables within the Structural VAR framework. I reduce the dimension of the system using functional PCA and show that the proposed functional VAR (FVAR) consistently recovers the responses of the functions. The FVAR is easy to implement and fully compatible with conventional SVAR tools. Simulation evidence shows that it performs satisfactorily in finite samples. Applying FVAR to study the impact of tax shocks on income distributions in the UK, I find that tax cuts persistently reduce the density of lower-middle-class households, which is offset by a substantial increase in the richer range and a moderate increase in the poorer range. However, this pattern is not captured by VARs with conventional inequality measures.
主讲人：Jiaming Huang, Universitat Pompeu Fabra and Barcelona School of Economics
主持人：（国发院）黄卓、张俊妮、孙振庭
（北大新结构经济学研究院）胡博
（经济学院）王一鸣、王熙、刘蕴霆、王法
时间：2024年3月15日（周五）10:00 AM -- 11:30 AM
地点：经济学院107
主讲人简介：
Dr Jiaming Huang is currently interested in econometrics and macroeconomics. His research studies specialize in unobserved heterogeneity, clustering, functional data analysis, machine learning, heterogeneous agent models, monetary policy, inequality, and economic risks.
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