Bootstrapping Macroeconometric Models by Ray C. Fair Cowles Foundation Paper No. 1195 Cowles Foundation for Research in Economics
نویسنده
چکیده
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.
منابع مشابه
Estimates of the Effectiveness of Monetary Policy by Ray C. Fair Cowles Foundation Paper No. 1155 Cowles Foundation for Research in Economics
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