Document Type
Discussion Paper
Publication Date
12-1-2001
CFDP Number
1345
CFDP Revision Date
2003-06-01
CFDP 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.
Recommended Citation
Fair, Ray C., "Bootstrapping Macroeconometric Models" (2001). Cowles Foundation Discussion Papers. 1607.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1607