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International Finance Discussion Papers - Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression (Paperback) Loot Price: R306
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International Finance Discussion Papers - Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression...

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

Jonathan H. Wright

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List price R336 Loot Price R306 Discovery Miles 3 060 You Save R30 (9%)

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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.

General

Imprint: Bibliogov
Country of origin: United States
Release date: February 2013
First published: February 2013
Authors: Jonathan H. Wright
Dimensions: 246 x 189 x 1mm (L x W x T)
Format: Paperback - Trade
Pages: 26
ISBN-13: 978-1-288-73156-5
Categories: Books > Social sciences > Politics & government > General
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LSN: 1-288-73156-6
Barcode: 9781288731565

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