Simultaneous Confidence Regions for Impulse Responses *

@inproceedings{Jord2007SimultaneousCR,
  title={Simultaneous Confidence Regions for Impulse Responses *},
  author={{\`O}scar Jord{\`a} and Colin Cameron and Fabio Canova and Michele Cavallo and D. Drucker and Jordi Gal{\'i} and James E. Hamilton and Massimiliano Marcellino and Paul A. Ruud and Aaron Smith},
  year={2007}
}
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 to evaluate uncertainty about the shape of the impulse response; and conditional bands to examine individual significance levels of impulse response coefficients given propagation trajectories. The paper also shows how to constrain a subset of impulse response paths to anchor structural… CONTINUE READING

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