Bootstrapping Macroeconometric Models
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.
|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|
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