Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons

JEL codes: 
C12, C32, F40
Version Date: 
Aug 2004

Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been proposed in the literature may be computationally challenging.

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