Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression

22 Pages Posted: 22 Nov 2000

See all articles by Jonathan H. Wright

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Date Written: September 2000

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.

Keywords: Confidence Intervals, Vector Autoregressions, Impulse Responses, Bootstrap

Suggested Citation

Wright, Jonathan H., Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression (September 2000). Available at SSRN: https://ssrn.com/abstract=244074 or http://dx.doi.org/10.2139/ssrn.244074

Jonathan H. Wright (Contact Author)

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

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