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
|
| LSN: |
1-288-73156-6 |
| Barcode: |
9781288731565 |
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