International Finance Discussion Papers: Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression (Paperback) (ISBN-13: 9781288731565)

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.

Author: Jonathan H. Wright
ISBN-10: 1288731566
ISBN-13: 9781288731565
Publisher: Bibliogov
Language: English
Published: 02/08/2013
Pages: 26
Format: Paperback
Weight: 0.15lbs
Size: 9.69h x 7.44w x 0.05d