Title

Bootstrapping Macroeconometric Models

Authors

Ray C. Fair

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.

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