Hall, Alastair; Inoue, Atsushi; Nason M, James; Rossi, … - Duke University, Department of Economics - 2007
criterion is general enough to apply to impulse responses estimated by VARs, local projections, as well as simulation methods. … of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse … responses that are most informative about the deep parameters, therefore reducing the bias and improving the efficiency of the …