{"product_id":"international-finance-discussion-papers-exact-confidence-intervals-for-impulse-responses-in-a-gaussian-vector-autoregression-1288731566","title":"International Finance Discussion Papers: Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression","description":"\u003cp\u003e\u003cstrong\u003eISBN:\u003c\/strong\u003e 1288731566\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eAuthor:\u003c\/strong\u003e Wright, Jonathan H\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eCondition:\u003c\/strong\u003e New\u003c\/p\u003e\u003cp\u003eMany 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.\u003c\/p\u003e","brand":"Mia Karts","offers":[{"title":"Default Title","offer_id":51964257075488,"sku":"NEW1288731566","price":17.7,"currency_code":"USD","in_stock":false}],"url":"https:\/\/miakarts.com\/products\/international-finance-discussion-papers-exact-confidence-intervals-for-impulse-responses-in-a-gaussian-vector-autoregression-1288731566","provider":"Miakarts Books","version":"1.0","type":"link"}