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International Finance Discussion Papers: Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression (in English)
United States Federal Reserve Board
(Author)
·
Jonathan H. Wright
(Author)
·
Bibliogov
· Paperback
International Finance Discussion Papers: Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression (in English) - Wright, Jonathan H. ; United States Federal Reserve Board
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Synopsis "International Finance Discussion Papers: Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression (in English)"
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.
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