Estimating Impulse Response Functions When the Shock Series Is Observed
Chi-Young Choi () and
No 353, Globalization Institute Working Papers from Federal Reserve Bank of Dallas
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, parsimonious specifications are preferred over full specifications with all ‘relevant’ variables.
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)
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Journal Article: Estimating impulse response functions when the shock series is observed (2019)
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