Exact confidence intervals for impulse responses in a gaussian vector autoregression - Info and Reading Options
By Jonathan H. Wright
"Exact confidence intervals for impulse responses in a gaussian vector autoregression" was published by Federal Reserve Board in 2000 - Washington, D.C and the language of the book is English.
“Exact confidence intervals for impulse responses in a gaussian vector autoregression” Metadata:
- Title: ➤ Exact confidence intervals for impulse responses in a gaussian vector autoregression
- Author: Jonathan H. Wright
- Language: English
- Publisher: Federal Reserve Board
- Publish Date: 2000
- Publish Location: Washington, D.C
“Exact confidence intervals for impulse responses in a gaussian vector autoregression” Subjects and Themes:
- Subjects: Autoregression (Statistics) - Confidence intervals
Edition Specifications:
- Format: Electronic resource
Edition Identifiers:
- The Open Library ID: OL3390567M - OL5812692W
- Library of Congress Control Number (LCCN): 2004620304
AI-generated Review of “Exact confidence intervals for impulse responses in a gaussian vector autoregression”:
"Exact confidence intervals for impulse responses in a gaussian vector autoregression" Description:
The Open Library:
"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.
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