Exact confidence intervals for impulse responses in a gaussian vector autoregression
By: Jonathan Wright.
Series: International finance discussion papers ;; no. 682; International finance discussion papers (Online) ;; no. 682.
Publisher: Federal Reserve Board
Published: 2000
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Subjects: Autoregression (Statistics); Confidence intervals.
Description: "Many techniques have been proposed for forming confidence intervals for the impulse responses in a vector autoregression.  However, numerous Monte-Carlo simulations have shown that all of these methods often have coverage well below the nominal level.  This paper proposes a new approach to constructing confidence intervals for impulse responses in a vector autoregression, making the additional assumption of Gaussianity.  These confidence intervals are conservative in all sample sizes; by construction they have coverage that must be greater than or equal to the nominal level"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 11/26/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.