Bootstrapping Macroeconometric Models

Bootstrapping Macroeconometric Models by Ray C. Fair Cowles Foundation Paper No. 1195 Cowles Foundation for Research in Economics

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 ...

CESAM The CCSO annual model of the Dutch economy

This paper presents CESAM, a macroeconometric model of the Dutch economy based on annual data. CESAM can be characterized as a Keynesian expenditure model including a neoclassical production model and a post-KeynesianJinancial model. This characterization holds for most of the Dutch macroeconometric models including, for instance, FREIA-KOMPAS of the Dutch Central Planning Bureau. There are, ho...

USC Dornsife Institute for New Economic Thinking Working Paper No. 14-02 Panel Macroeconometric Modeling

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statist...

Panel Macroeconometric Modeling∗

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statist...

Computational Methods for Macroeconometric Models Ray