Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31350
Authors: 
Jordà, Òscar
Year of Publication: 
2007
Series/Report no.: 
Working papers // University of California, Department of Economics 07,7
Abstract: 
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.
Subjects: 
impulse response function
local projections
vector autoregressions
JEL: 
C32
E47
C53
Document Type: 
Working Paper

Files in This Item:
File
Size
466.31 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.