Arbeitspapier
Inference for impulse responses
Poor identification of individual impulse response coefficients does not necessarily mean that an impulse response is imprecisely estimated. This paper introduces a three-pronged approach on how to communicate uncertainty of impulse response estimates: (1) withWald tests of joint significance; (2) with conditional t-tests of individual marginal coefficient significance; and (3) with fan charts based on the percentiles of the joint Wald statistics. The paper also shows how to anchor the impulse response analysis with a priori economic restrictions that can be formally tested and used to tighten structural identification. These methods are universal and do not depend on how the impulse responses are estimated. An empirical application illustrates the techniques in practice.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 07-7
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods
- Subject
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impulse response function
local projections
vector autoregressions
- Event
-
Geistige Schöpfung
- (who)
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Jordà, Òscar
- Event
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Veröffentlichung
- (who)
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University of California, Department of Economics
- (where)
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Davis, CA
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Jordà, Òscar
- University of California, Department of Economics
Time of origin
- 2007
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