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dc.contributor.authorJordà, Òscaren_US
dc.date.accessioned2009-09-29en_US
dc.date.accessioned2010-05-14T11:04:26Z-
dc.date.available2010-05-14T11:04:26Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/31365-
dc.description.abstractThis paper provides three measures of the uncertainty associated to an impulse response path: (1) conditional confidence bands which isolate the uncertainty of individual response coefficients given the temporal path experienced up to that point; (2) response percentile bounds} which provide bounds on the universe of permissible paths at a given probability level; and (3) Wald tests of joint significance and joint cumulative significance. These results rely on general assumptions for the joint distribution of the system's impulse responses. Given this distribution, the paper then shows how to construct counterfactual experiments formally; provides a test on the likelihood of observing the counterfactual; and derives the distribution of the system's responses conditional on the counterfactual. The paper then derives the asymptotic joint distribution of structural impulse responses identified by either short- or long-run recursive assumptions and estimated by local projections (Jorda, 2005). An application to a two country system implements all of these new methods.en_US
dc.language.isoengen_US
dc.publisherDep. of Economics, Univ. of California Davis, Calif.en_US
dc.relation.ispartofseriesWorking papers // University of California, Department of Economics 06,24en_US
dc.subject.jelC70en_US
dc.subject.jelC72en_US
dc.subject.jelC90en_US
dc.subject.jelC91en_US
dc.subject.jelD80en_US
dc.subject.jelD81en_US
dc.subject.ddc330en_US
dc.titleJoint inference and counterfactual experimentation for impulse response functions by local projectionsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn571792049en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Working Papers, Department of Economics, UC Davis

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