Inference for impulse responses

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) with Wald tests of joint significance; (2) with conditional t-tests of individual marginal coefficient… (More)

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@inproceedings{Canova2007InferenceFI, title={Inference for impulse responses}, author={Fabio Canova and Michele Alessandro Cavallo and Jordi Gal{\'i}}, year={2007} }