现代产业经济学系列讲座第301期

In this talk, Dr. Wang presents two complementary projects on horizon-specific Granger causality testing through high-dimensional local projections, with applications to connectedness in large financial and economic systems. The motivation is that spillovers often arise with delay and persist across horizons, so single-horizon measures cannot capture the full picture of systemic interdependence. The first project, Sparse VARs Do Not Imply Sparse Local Projections, shows that sparsity of the underlying VAR need not propagate to local projections, so that even a sparse short-run system can generate dense coefficients at longer horizons. Dr. Wang proposes a de-biased two-stage estimator that imposes sparsity only on the VAR and a robust inference procedure that dispenses with HAC corrections. The second project, The Horizon Structure of Contagion, builds a horizon-specific network from continuous Granger-causality measures computed from a "restricted" VAR, for instance, a Heterogenous autoregressive specification and a grouped network VAR, requiring sparsity only on the restricted law of motion. Throughout, Dr. Wang shows that post-double-selection and de-sparsified LASSO can fail for local projections, while the proposed method remains robust without horizon-by-horizon sparsity.