Modelling uncertainty: A recursive VAR bootstrapping approach
AbstractThis paper develops a recursive VAR bootstrapping approach to produce time series measures of nominal and real uncertainty. The method is applied to US data and results compared to measures based on the Survey of Professional Forecasters.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 99 (2008)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
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