|
Simultaneous Confidence Intervals in Econometric Forecasting
Saul H. Hymans
Abstract
Forecasting a vector of jointly dependent random variables frequently leads to the consideration of a confidence ellipsoid [6]. Joint confidence intervals can then be derived if the projections of the ellipsoid on a set of coordinate axes can be calculated. In this paper we derive an expression for such projections and then present the application to econometric forecasting.
|
