Bootstrapping Macroeconometric Models

Ray C. Fair, Yale University

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

Ray C. Fair (2003) "Bootstrapping Macroeconometric Models", Studies in Nonlinear Dynamics & Econometrics: Vol. 7: No. 4, Article 1.
http://www.bepress.com/snde/vol7/iss4/art1

Related Files

fair_datacode.zip (694 kB)
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