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Bootstrapping Macroeconometric Models

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Abstract

This 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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File URL: http://cowles.econ.yale.edu/P/cd/d13a/d1345.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1345.

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Length: 30 pages
Date of creation: Dec 2001
Date of revision: Jun 2003
Publication status: Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 7, No. 4, Article 1
Handle: RePEc:cwl:cwldpp:1345

Note: CFP 1195.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Keywords: Bootstrapping; stochastic simulation;

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References

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  1. Fair, Ray C, 1993. "Testing the Rational Expectations Hypothesis in Macroeconometric Models," Oxford Economic Papers, Oxford University Press, vol. 45(2), pages 169-90, April.
  2. Jeremy Berkowitz & Lutz Kilian, 1996. "Recent developments in bootstrapping time series," Finance and Economics Discussion Series 96-45, Board of Governors of the Federal Reserve System (U.S.).
  3. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
  4. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
  5. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-42, October.
  6. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
  7. repec:sae:niesru:v:164:y::i:1:p:90-99 is not listed on IDEAS
  8. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
  9. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454, October.
  10. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
  11. T. Muench & A. Rolnick & N. Wallace, 1974. "Tests for Structural Change and Prediction Intervals for the reduced Forms of Two Structural Models of the U.S.: THe FRB-MIT and Michigan Quarterly Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 3, pages 45-74 National Bureau of Economic Research, Inc.
  12. Yoel Haitovsky & Neil Wallace, 1972. "A Study Of Discretionary And Nondiscretionary Monetary And Fiscal Policies In The Context Of Stochastic Macroeconometric Models," NBER Chapters, in: Economic Research: Retrospect and Prospect Vol 1: The Business Cycle Today, pages 261-310 National Bureau of Economic Research, Inc.
  13. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-43, March.
  14. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
  15. Ray C. Fair, 1978. "Estimating the Expected Predictive Accuracy of Econometric Models," Cowles Foundation Discussion Papers 480, Cowles Foundation for Research in Economics, Yale University.
  16. repec:wop:humbsf:2001-59 is not listed on IDEAS
  17. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model," MPRA Paper 21287, University Library of Munich, Germany.
  18. Härdle, Wolfgang & Horowitz, Joel L. & Kreiss, Jens-Peter, 2001. "Bootstrap methods for time series," SFB 373 Discussion Papers 2001,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  19. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers 0005, National Bureau of Economic Research, Inc.
  20. Michael K. Evans & Lawrence R. Klein & Mitsuo Saito & Michael D. McCarthy, 1972. "Short-Run Prediction And Long-Run Simulation Of The Wharton Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Vols. 1 and 2, pages 139-200 National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Debby Lanser & Henk Kranendonk, 2008. "Investigating uncertainty in macroeconomic forecasts by stochastic simulation," CPB Discussion Paper 112, CPB Netherlands Bureau for Economic Policy Analysis.
  2. Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Society for Computational Economics, vol. 31(1), pages 21-43, February.
  3. Bhattacharjee, Arnab & Jensen-Butler, Chris, 2013. "Estimation of the spatial weights matrix under structural constraints," Regional Science and Urban Economics, Elsevier, vol. 43(4), pages 617-634.

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