Title: Exact confidence intervals for impulse responses in a gaussian vector autoregression
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.
Subjects: Autoregression (Statistics), Confidence intervals