{"product_id":"international-finance-discussion-papers-jonathan-h-wright-9781288731565","title":"International Finance Discussion Papers: 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Jonathan H. Wright\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1288731566\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781288731565\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Bibliogov\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 02\/08\/2013\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 26\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.15lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.69h x 7.44w x 0.05d","brand":"Jonathan H. Wright","offers":[{"title":"Paperback","offer_id":48449456537855,"sku":"9781288731565","price":14.75,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_5fea0bd2-4604-41e0-b378-da24219c4934.jpg?v=1777263470","url":"https:\/\/www.whiterainbookhouse.com\/products\/international-finance-discussion-papers-jonathan-h-wright-9781288731565","provider":"WR Book House","version":"1.0","type":"link"}