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Modelling uncertainty: A recursive VAR bootstrapping approach

Authors
Publisher
Elsevier B.V.
Publication Date
Volume
99
Issue
3
Identifiers
DOI: 10.1016/j.econlet.2007.09.026
Keywords
  • Nominal Uncertainty
  • Real Uncertainty
  • Structural Var
  • Wild Bootstrap

Abstract

Abstract This paper develops a recursive VAR bootstrapping approach to produce time series measures of nominal and real uncertainty. The method is applied to US data and results compared to measures based on the Survey of Professional Forecasters.

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