Exact confidence intervals for impulse responses in a Gaussian vector autoregression

Jonathan Wright

No 682, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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.

Keywords: Vector autoregression; Macroeconomics (search for similar items in EconPapers)
Date: 2000
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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