Confidence Intervals for Univariate Impulse Responses With a Near Unit Root |
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| Authors: | Jonathan H Wright |
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| Institution: | International Finance Division , Board of Governors of the Federal Reserve System , Washington , DC , 20551 E-mail: jonathan.h.wright@frb.gov |
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| Abstract: | This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output. |
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| Keywords: | Bootstrap Confidence intervals Impulse response Unit roots |
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