Bootstrapping Macroeconometric Models

Fair, Ray C.

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Bootstrapping Macroeconometric Models

Yale ICF Working Paper No. 00-69

Cowles Foundation Discussion Paper No. 1345

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: 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