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Cited by 121Monetary Policy and Economic ImpactDiverse Scientific and Economic StudiesAdvanced Causal Inference Techniques

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Simultaneous Confidence Regions for Impulse Responses

Jordà, Òscar·2009·Review of Economics and Statistics
DOI 10.1162/rest.91.3.629
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Abstract

Inference about an impulse response is a multiple testing problem with serially correlated coefficient estimates. This paper provides a method to construct simultaneous confidence regions for impulse responses and conditional bands to examine significance levels of individual impulse response coefficients given propagation trajectories. The paper also shows how to constrain a subset of impulse response paths to anchor structural identification and how to formally test the validity of such identifying constraints. Simulation and empirical evidence illustrate the new techniques. A broad summary of asymptotic analytic formulas is provided to make the methods easy to implement with commonly available statistical software.

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Research works printed but not linked: 24

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Metadata

Authors
Jordà, Ò.
Affiliations
University of California, Davis (US)
Corresponding author
Jordà, Òscar
ORCID
Jordà, Òscar
Venue
Review of Economics and Statistics
Publisher
MIT Press
Published
2009-08
Volume
91
Issue
3
Pages
629-647
ISSN
  • 0034-6535 (ISSN-L)
  • 1530-9142
DOI
10.1162/rest.91.3.629
OpenAlex
W2131260078
Cited by
121
References
0
Citations by year
2026: 7 · 2025: 10 · 2024: 12 · 2023: 10 · 2022: 4 · 2021: 10 · 2020: 8 · 2019: 8 · 2018: 8 · 2017: 4 · 2016: 6 · 2015: 5 · 2014: 5 · 2013: 4 · 2012: 4
FWCI
15.44
Type
journal article
Language
en
Open access
closed
Locations
  • The Review of Economics and Statistics (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Diverse Scientific and Economic Studies
  • Physical Sciences › Mathematics › Statistics and Probability › Advanced Causal Inference Techniques
Keywords
impulse response, simultaneous confidence regions, multiple comparisons, serial correlation, structural identification, asymptotic formula

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