Econometrica: Jan 1968, Volume 36, Issue 1
Simultaneous Confidence Intervals in Econometric Forecasting
Saul H. HymansForecasting a vector of jointly dependent random variables frequently leads to the consideration of a confidence ellipsoid . 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.
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