CFDP 1345
Bootstrapping Macroeconometric Models
Author(s):Publication Date: December 2001
Revision Date: June 2003
Pages: 30
Abstract:
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.
Keywords:
Bootstrapping, Stochastic simulation
JEL Classification Codes: C15
See CFP: 1195