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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression
Jonathan Wright
2000-682  (September 2000, latest version August 2001)

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.

Full paper, latest version (200 KB PDF)
Original version (178 KB PDF)

Confidence Intervals, Vector Autoregressions, Impulse Responses, Bootstrap

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Last update: August 23, 2001