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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- Robert W. Rich & Joseph Tracy, 2000.
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- Cecchetti, Stephen G & Rich, Robert W, 2001.
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- Robert W. 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.
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