Estimating impulse response functions when the shock series is observed

Chi-Young Choi and Alexander Chudik

Economics Letters, 2019, vol. 180, issue C, 71-75

Abstract: We compare the finite sample performance of a variety of consistent approaches to estimating impulse response functions (IRFs) in a linear setup when the shock of interest is observed. Although there is no uniformly superior approach, iterated approaches turn out to perform well in terms of root mean-squared error (RMSE) in diverse environments and sample sizes. For smaller sample sizes, the inclusion of all ‘relevant’ variables is not always desirable.

Keywords: Observed shock; Impulse-response functions; Monte Carlo experiments; Finite sample performance (search for similar items in EconPapers)
JEL-codes: C13 C50 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (15)

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Working Paper: Estimating Impulse Response Functions When the Shock Series Is Observed (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:180:y:2019:i:c:p:71-75

DOI: 10.1016/j.econlet.2019.04.017

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