Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 1968, Volume 36, Issue 1

Simultaneous Confidence Intervals in Econometric Forecasting<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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