Confidence Intervals for Univariate Impulse Responses with a Near Unit Root

Jonathan Wright

Journal of Business & Economic Statistics, 2000, vol. 18, issue 3, 368-73

Abstract: This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output.

Date: 2000
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:18:y:2000:i:3:p:368-73

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