Simula@BI seminar: Geert Mesters
Simula@BI invites Associate Professor Geert Mesters, Universitat Pompeu Fabra to give a talk titled "Innovation Powered Narrative Inference" within the field of econometrics.
- Starts:12:00, 22 April 2024
- Ends:13:00, 22 April 2024
- Location:BI - campus Oslo: B3 inner area - next to meeting room B3i-108 or Zoom
- Contact:Siri Johnsen (siri.johnsen@bi.no)
Simula@BI invites Associate Professor Geert Mesters, Universitat Pompeu Fabra to give a talk within the field of econometrics.
Abstract
The narrative identification approach is often only able to identify a small number of exogenous events accurately, leading to consistent but high variance estimates of dynamic causal effects. In contrast, the time series model identification approach ---e.g., recursive, long-run, max share--- leads to low variance but possibly inconsistent estimates because of omitted variables. In this work, we introduce a new method ---innovation-powered narrative inference---, which combines the benefits of both identification approaches by using innovations from time series models to boost the power of narrative methods while preserving consistency. The method is illustrated using the narrative monetary series of Romer & Romer (1989, 2023), documenting considerable reductions in confidence intervals for the causal effects of monetary policy on inflation and output.
This is a joint work with Regis Barnichon, San Francisco Fed.