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