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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems

  • Sven Schreiber

    ()

    (Macroeconomic Policy Institute (IMK) in the Hans Boeckler Foundation)

The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in agiven period (e.g. the latest observation) by conditioning on the observed datain that period. To calculate asymptotically valid confidence intervals we usethe delta method and two bootstrap variants. As an illustration we analyze theuncertainty of (US) output gap estimates in a system of output, consumption, and investment.

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File URL: http://www.boeckler.de/pdf/p_imk_wp_3_2011.pdf
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Paper provided by IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute in its series IMK Working Paper with number 3-2011.

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Length: 22 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:imk:wpaper:3-2011
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  1. Hecq, Alain & Palm, Franz C & Urbain, Jean-Pierre, 2000. " Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 511-32, September.
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