Template-Type: ReDIF-Paper 1.0
Author-Name: Oscar Jorda
Author-Name-First: Oscar
Author-Name-Last: Jorda
Author-Workplace-Name: Department of Economics, University of California Davis
Title: Inference for Impulse Responses
Abstract: Poor identification of individual impulse response coefficients does not necessarily mean that animpulse response is imprecisely estimated. This paper introduces a three-pronged approach on howto 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 chartsbased on the percentiles of the joint Wald statistics. The paper also shows how to anchor theimpulse response analysis with a priori economic restrictions that can be formally tested and usedto tighten structural identification. These methods are universal and do not depend on how theimpulse responses are estimated. An empirical application illustrates the techniques in practice.
Length: 40
File-URL: https://repec.dss.ucdavis.edu/files/axRGBE7GMSfwbcUERyi6ac7j/07-7.pdf
File-Format: application/pdf
Number: 201
Classification-JEL: C32, E47, C53
KeyWords: impulse response function, local projections, vector autoregressions
Creation-Date: 20070606
Handle: RePEc:cda:wpaper:201