The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States: Comment

• 成果类型: Editorial Material
• 署名作者: Jentsch, Carsten; Lunsford, Kurt G.
• 署名单位: Dortmund University of Technology; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20162011
• 发表日期: 2019
• 页码: 2655-2678
• 关键词: conditional heteroskedasticity; monetary-policy; IMPACT; vars; SVAR

摘要

Mertens and Ravn (2013) estimateimpulse response functions (MPS) from income tax changes in a structural vector autoregression (SVAR) by using narrative accounts of tax liability changes as proxy variables. To produce confidence intervals for their IRFs, they use a residual-based wild bootstrap, which has subsequently become popular in the proxy SVAR literature. We argue that their wild bootstrap is not valid, producing confidence intervals that are much too small. Using a residual-based moving block bootstrap that is proven to be asymptotically valid, we reestimate confidence intervals for Mertens and Ravn's (2013) IRFs and find no statistically significant effects of tax changes on output, labor, and investment.