Rotterdam Seminars Econometric Institute

Oscar Jorda
Thursday, September 1, 2016

This paper shows that a simple approximate 95% point-wise significance band for the response of an outcome variable to an intervention is given by an interval centered around zero defined by plus or minus two times the square root of n times the ratio of the conditional variance of the outcome variable to the conditional variance
of the intervention variable. The paper shows how to calculate significance bands more generally, both analytically and by simulation, in the context of impulse responses calculated by local projections or using inverse probability weighting methods. (Co-author: Guido Kuersteiner.)