New answers tagged time-series
1
My question clearly is ; It is possible to use a nominal variable in a time series regression? (regardless of stationary issues)
Is it possible? Yes.
Should you actually do it? Probably not.
Nominal variables are combination of real variables and prices. For example, nominal consumption $C_n$ will be given by:
$$C_n = P C_r$$
where $C_r$ is real consumption....
3
I've seen them summed somewhere but I cannot exactly remember where. Ultimately I don't think that it makes much difference. The quarterly sum is just the average multiplied by three. Since local projections are just a bunch of OLS - one for each horizon, this is how you can think about the issue:
If $y_{t+h} = \alpha^h + \beta_h news\_shock_t + \sum_{j=1}^{...
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