G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9892
DP9892 Joint Confidence Sets for Structural Impulse Responses
Lutz Kilian; Atsushi Inoue
发表日期2014-03-16
出版年2014
语种英语
摘要Many users of structural VAR models are primarily interested in learning about the shape of structural impulse response functions. This requires joint inference about sets of structural impulse responses, allowing for dependencies across time as well as across response functions. Such joint inference is complicated by the fact that the joint distribution of structural impulse response becomes degenerate when the number of structural impulse responses of interest exceeds the number of model parameters, as is often the case in applied work. This degeneracy may be overcome by transforming the estimator appropriately. We show that the joint Wald test is invariant to this transformation and converges to a nonstandard distribution, which can be approximated by the bootstrap, allowing the construction of asymptotically valid joint confidence sets for any subset of structural impulse responses, regardless of whether the joint distribution of the structural impulse responses is degenerate or not. We demonstrate by simulation the coverage accuracy of these sets in finite samples under realistic conditions. We make the case for representing these joint confidence sets in the form of "shotgun plots" rather than joint confidence bands for impulse response functions. Several empirical examples demonstrate that this approach not only conveys the same information as confidence bands about the statistical significance of response functions, but provides economically relevant additional information about the shape of response functions that is lost when reducing the joint confidence set to two-dimensional bands.
主题International Macroeconomics
关键词Bootstrap Confidence regions Degenerate limiting distribution Impulse response shapes Joint inference Shotgun plots
URLhttps://cepr.org/publications/dp9892
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538726
推荐引用方式
GB/T 7714
Lutz Kilian,Atsushi Inoue. DP9892 Joint Confidence Sets for Structural Impulse Responses. 2014.
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