Advanced Search
MyIDEAS: Login to save this paper or follow this series

Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections

Contents:

Author Info

  • Oscar Jorda

    (Department of Economics, University of California Davis)

Abstract

This 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://wp.econ.ucdavis.edu/06-24.pdf
Our checks indicate that this address may not be valid because: 500 Can't connect to wp.econ.ucdavis.edu:80 (10060). If this is indeed the case, please notify (Scott Dyer)
Download Restriction: no

Bibliographic Info

Paper provided by University of California, Davis, Department of Economics in its series Working Papers with number 624.

as in new window
Length: 47
Date of creation: 15 Feb 2007
Date of revision:
Handle: RePEc:cda:wpaper:06-24

Contact details of provider:
Postal: One Shields Ave., Davis, CA 95616-8578
Phone: (530) 752-0741
Fax: (530) 752-9382
Email:
Web page: http://www.econ.ucdavis.edu
More information through EDIRC

Related research

Keywords: impulse response; local projection; conditional confidence bands; counterfactual;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Christopher A. Sims & Tao Zha, 1995. "Error bands for impulse responses," Working Paper 95-6, Federal Reserve Bank of Atlanta.
  2. John H. Cochrane, 1995. "What do the VARs Mean?: Measuring the Output Effects of Monetary Policy," NBER Working Papers 5154, National Bureau of Economic Research, Inc.
  3. Leeper, Eric M. & Zha, Tao, 2003. "Modest policy interventions," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1673-1700, November.
  4. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
  5. Guido M. Kuersteiner, 1999. "Optimal Instrumental Variables Estimation for ARMA Models," Working papers 99-07, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Kuersteiner, Guido M., 2002. "Efficient Iv Estimation For Autoregressive Models With Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 18(03), pages 547-583, June.
  7. Silvia Goncalves & Lutz Kilian, 2007. "Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 609-641.
  8. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cda:wpaper:06-24. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Scott Dyer).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.