Bootstrapping Macroeconometric Models
AbstractThis paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach to evaluating estimators initiated by Efron (1979) and the stochastic simulation approach to evaluating models' properties initiated by Adelman and Adelman (1959). It also estimates for a particular model the gain in coverage accuracy from using bootstrap confidence intervals over asymptotic confidence intervals.
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Bibliographic InfoArticle provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.
Volume (Year): 7 (2003)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.degruyter.com
Other versions of this item:
- Ray Fair, 2002. "Bootstrapping Macroeconometric Models," Yale School of Management Working Papers ysm254, Yale School of Management, revised 01 Aug 2007.
- Ray C. Fair, 2001. "Bootstrapping Macroeconometric Models," Cowles Foundation Discussion Papers 1345, Cowles Foundation for Research in Economics, Yale University, revised Jun 2003.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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