Bootstrapping macroeconometric models

Studies in Nonlinear Dynamics and Econometrics

Volumn 7, Issue 4, 2003, Pages

  Fair, Ray C ^a  

^a YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 14844362025     PISSN: 15583708     EISSN: 10811826     Source Type: Journal    
DOI: 10.2202/1558-3708.1110     Document Type: Article

References (43)

1. Adelman, I., and F.L. Adelman, 1959, "The Dynamic Properties of the Klein-Goldberger Model," Econometrica, 27, 596-625.
2. Andrews, D.W.K., and W. Ploberger, 1994, "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative," Econometrica, 62.
3. Berkowitz, J. and L. Kilian, 2000, "Recent Developments in Bootstrapping Time Series," Econometric Reviews, 19, 1-48.
4. Bianchi, C., G. Calzolari, and P. Corsi, 1976, "Divergences in the Results of Stochastic and Deterministic Simulation of an Italian Non Linear Econometric Model," in L. Dekker, ed., Simulation of Systems, Amsterdam: North-Holland.
5. Brown, B.W., and R.S. Mariano, 1984, "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, 52, 321-343.
6. Calzolari, G., and P. Corsi, 1977, "Stochastic Simulation as a Validation Tool for Econometric Models," paper presented at IIASA Seminar, September 13-15, Laxenburg, Vienna.
7. Cooper, J.P., 1974, Development of the Monetary Sector, Prediction and Policy Analysis in the FRB-MIT-Penn Model, Lexington, Mass.: D.C. Heath.
8. _, and S. Fischer, 1972, "Stochastic Simulation of Monetary Rules in Two Macroeconometric Models," Journal of the American Statistical Association, 67, 750-760.
9. _, 1974, "Monetary and Fiscal Policy in the Fully Stochastic St. Louis Econometric Model," Journal of Money, Credit and Banking, 6, 1-22.
10. Efron, B., 1979, "Bootstrap Methods: Another Look at the Jackknife," The Annals of Statistics, 7, 1-26.
11. Evans, M.K., L. Klein, andM. Saito, 1972, "Short-RunPrediction and Long-Run Simulation of the Wharton Model," in B.G. Hickman, ed., Econometric Models of Cyclical Behavior, New York: Columbia University Press, 949-1139.
12. Fair, R.C., 1974, "On the Solution of Optimal Control Problems as Maximization Problems," Annals of Economic and Social Measurement, 3, 135-154.
13. _, 1980a, "Estimating the Expected Predictive Accuracy of Econometric Models," International Economic Review, 21, 355-378.
14. _, 1980b, "Estimating the Uncertainty of Policy Effects in Non-linear Econometric Models," Econometrica, 48, 1381-1391.
15. _, 1993a, "Testing the Rational Expectations Hypothesis in Macroeconometric Models," Oxford Economic Papers, 45, 169-190.
16. _, 1993b, "Estimating Event Probabilities in Macroeconometric Models," in J.H. Stock and M.W. Watson, eds., Business Cycles, Indicators, and Forecasting, Chicago: The University of Chicago Press, 157-176.
17. _, 1994, Testing Macroeconometric Models, Cambridge, MA: Harvard University Press.
18. _, 1998, "Estimated Stabilization Costs of the EMU," National Institute Economic Review, 164, 90-99.
19. _, and William R. Parke, 1995, The Fair-Parke Program for the Estimation and Analysis of Nonlinear Econometric Models, available at http://fairmodel. econ.yale.edu.
20. Fair, R.C., and John B. Taylor, 1983, "Solution and Maximum Likelihood Estimation of Dynamic Rational Expectations Models," Econometrica, 51, 1169-1185.
21. _, 1990, "Full Information Estimation and Stochastic Simulation of Models with Rational Expectations," Journal of Applied Econometrics, 5, 381-392.
22. Freedman, D., 1981, "Bootstrapping Regression Models," The Annals of Statistics, 9, 1218-1228.
23. _, 1984, "On Bootstrapping Two-Stage Least-Squares Estimates in Stationary Linear Models," The Annals of Statistics, 12, 827-842.
24. Fromm, G., L.R. Klein, and G.R. Schink, 1972, "Short- and Long-Term Simulations with the Brookings Model," in B.G. Hickman, ed., Econometric Models of Cyclical Behavior, New York: Columbia University Press, 201-292.
25. Garbade, K.D., 1975, Discretionary Control of Aggregate Economic Activity, Lexington, Mass.: D.C. Heath.
26. Green, G.R., M. Liebenberg, and A.A. Hirsch, 1972, "Short- and Long-Term Simulations of the OBE Econometric Model," in B.G. Hickman, ed., Econometric Models of Cyclical Behavior, New York: Columbia University Press, 25-123.
27. Haitovsky, Y., and N. Wallace, 1972, "A Study of Discretionary and Nondiscretionary Monetary and Fiscal Policies in the Context of Stochastic Macroeconometric Models," in V. Zarnowitz, ed., The Business Cycle Today, New York: Columbia University Press.
28. Hall, P., 1988, "Theoretical Comparison of Bootstrap Confidence Intervals," The Annals of Statistics, 16, 927-953.
29. _, 1992, The Bootstrap and Edgeworth Expansion, New York: Springer-Verlag.
30. _, and J.L. Horowitz, 1996, "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, 64, 891-916.
31. Härdie, W., J. Horowitz, and J. Kreiss, 2001, "Bootstrap Methods for Time Series," mimeo.
32. Horowitz, J.L., 1997, "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Chapter 7 in D.M. Kreps and K.F. Wallis, Advances in Economics and Econometrics: Theory and Applications, Volume III, Cambridge: Cambridge University Press, 188-222.
33. Hurwicz, L., 1950, "Least-Squares Bias in Time Series," in T.C. Koopmans, ed., Statistical Inference in Dynamic Economic Models" Cowles Commission Monograph No. 10, New York: John Wiley & Sons, Inc., 365-383.
34. Kilian, L., 1998, "Small-Sample Confidence Intervals for Impulse Response Functions," The Review of Economics and Statistics, 80, 218-230.
35. Li, H., and G.S. Maddala, 1996, "Bootstrapping Time Series Models," Econometric Reviews, 15, 115-158.
36. MacKinnon, J.G., 2002, "Bootstrap Inference in Econometrics," Canadian Journal of Economics, 35, 615-645.
37. Muench, T., A. Rolnick, N. Wallace, and W. Weiler, 1974, "Tests for Structural Change and Prediction Intervals for the Reduced Forms of the Two Structural Models of the U.S.: The FRB-MIT and Michigan Quarterly Models," Annals of Economic and Social Measurement, 3, 491-519.
38. Nagar, A.L., 1969, "Stochastic Simulation of the Brookings Econometric Model," in J.S. Duesenberry, G. Fromm, L.R. Klein, and E. Kuh, eds., The Brookings Model: Some Further Results, Chicago: Rand McNally.
39. Orcutt, G.H., 1948, "A Study of the Autoregressive Nature of the Time Series Used for Tinbergen's Model of the Economic System of the United States, 1919-1932," Journal of the Royal Statistical Society, Series B, 1-45.
40. Runkle, D.E., 1987, "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, 5, 437-442.
41. Schink, G.R., 1971, "Small Sample Estimates of the Variance-Covariance Matrix Forecast Error for Large Econometric Models: The Stochastic Simulation Technique," Ph.D. dissertation, University of Pennsylvania.
42. _, 1974, "Estimation of Small Sample Forecast Error for Nonlinear Dynamic Models: A Stochastic Simulation Approach," mimeo.
43. Sowey, E.R., 1973, "Stochastic Simulation For Macroeconomic Models: Methodology and Interpretation," in A.A. Powell and R.W. Williams, eds., Econometric Studies of Macro and Monetary Relations, Amsterdam: North-Holland.