A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations*
指导如何使用自回归分布滞后模型进行脉冲响应估计，指出常见设定会导致估计不一致和低效，并揭示部分实证结果可能是统计假象，最后提出简单方法避免偏差并获得一致精确的估计。
We provide a guide to using autoregressive distributed lag models for impulse response estimations with an identified structural shock or an external instrument for the shock. We illustrate how specifications widely used in practice can lead to inconsistent and inefficient estimators. We further review empirical results from previous papers and show that some results appear to be statistical artefacts. We propose a simple method to avoid such a false conclusion from biases or large standard errors and obtain consistent and precise estimates.