Modelling uncertainty: A recursive VAR bootstrapping approach
This 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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- Olivier Jean Blanchard & Danny Quah, 1988.
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NBER Working Papers
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- Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
- Giordani, Paolo & Soderlind, Paul, 2000.
"Inflation Forecast Uncertainty,"
SSE/EFI Working Paper Series in Economics and Finance
384, Stockholm School of Economics, revised 09 Oct 2000.
- Robert Rich & Joseph Tracy, 2006. "The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts," Staff Reports 253, Federal Reserve Bank of New York.
- Stephen G. Cecchetti & Robert W. Rich, 1999.
"Structural estimates of the U.S. sacrifice ratio,"
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- Robert Rich & Joseph Tracy, 2000.
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NBER Working Papers
7731, National Bureau of Economic Research, Inc.
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