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.
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