Econometrica: Jan 1968, Volume 36, Issue 1
Simultaneous Confidence Intervals in Econometric Forecasting
https://doi.org/0012-9682(196801)36:1<18:SCIIEF>2.0.CO;2-8
p.
18-30
Saul H. Hymans
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.Log In To View Full Content