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.

中文翻译：

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脉冲响应估计的自回归分布滞后模型指南*

我们提供了使用自回归分布滞后模型进行脉冲响应估计的指南，该模型具有已识别的结构冲击或用于冲击的外部工具。我们说明了在实践中广泛使用的规范如何导致不一致和低效的估计。我们进一步回顾了以前论文的实证结果，并表明一些结果似乎是统计伪影。我们提出了一种简单的方法来避免这种因偏差或大标准误差而得出的错误结论，并获得一致和精确的估计。