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:||01 Jan 2002|
|Date of revision:||01 Aug 2007|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
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