Simultaneous Confidence Regions for Impulse Responses
提出构建脉冲响应同时置信区域的方法，并给出条件带以检验单个系数在传播路径下的显著性，还展示了如何约束部分脉冲响应路径来锚定结构识别并检验约束有效性。
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 and conditional bands to examine significance levels of individual impulse response coefficients given propagation trajectories. The paper also shows how to constrain a subset of impulse response paths to anchor structural identification and how to formally test the validity of such identifying constraints. Simulation and empirical evidence illustrate the new techniques. A broad summary of asymptotic analytic formulas is provided to make the methods easy to implement with commonly available statistical software. Copyright by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.