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. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
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