International Finance Discussion Papers (IFDP)
September 2000 (Revised August 2001)
Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression
Jonathan Wright
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.
Original version (PDF)Keywords: Confidence Intervals, Vector Autoregressions, Impulse Responses, Bootstrap
PDF: Full Paper
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