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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.

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File URL: http://cowles.econ.yale.edu/P/cd/d13a/d1345.pdf
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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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Web page: http://cowles.econ.yale.edu/

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  1. 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.
  2. 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 491-519 National Bureau of Economic Research, Inc.
  3. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
  4. 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.
  5. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
  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. 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.
  9. 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.
  10. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  11. 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.
  12. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454, October.
  13. 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.
  14. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
  15. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
  16. 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.
  17. 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, Volumes 1 and 2, pages 139-200 National Bureau of Economic Research, Inc.
  18. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-42, October.
  19. 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, Volume 1, The Business Cycle Today, pages 261-309 National Bureau of Economic Research, Inc.
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