Bootstrapping Macroeconometric Models

31 Pages Posted: 9 Jan 2002

See all articles by Ray C. Fair

Ray C. Fair

Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

Date Written: December 2001

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: C15

Suggested Citation

Fair, Ray C., Bootstrapping Macroeconometric Models (December 2001). Yale ICF Working Paper No. 00-69; Cowles Foundation Discussion Paper No. 1345. Available at SSRN: https://ssrn.com/abstract=293807

Ray C. Fair (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

Yale School of Management - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
631
Abstract Views
4,252
rank
43,527
PlumX Metrics