On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series PDF Download
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Languages : en
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The U.S. Federal Reserve Board presents the full text of the January 24, 1999 paper entitled "On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series," written by Jeremy Berkowitz, Ionel Birgean, and Lutz Kilian. The text is available in PDF format and the paper is part of the Finance and Economics Discussion Series. This paper examines effective coverage accuracy of impulse response and spectral density bootstrap confidence intervals for standard sample sizes of macroeconomic time series.
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Languages : en
Pages :
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Book Description
The U.S. Federal Reserve Board presents the full text of the January 24, 1999 paper entitled "On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series," written by Jeremy Berkowitz, Ionel Birgean, and Lutz Kilian. The text is available in PDF format and the paper is part of the Finance and Economics Discussion Series. This paper examines effective coverage accuracy of impulse response and spectral density bootstrap confidence intervals for standard sample sizes of macroeconomic time series.
Author: Jeremy Berkowitz
Publisher:
ISBN:
Category : Resampling (Statistics)
Languages : en
Pages : 58
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Author: J. Berkowitz
Publisher:
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Category :
Languages : en
Pages :
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Author: Qi Li
Publisher: Princeton University Press
ISBN: 0691121613
Category : Business & Economics
Languages : en
Pages : 768
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Book Description
This is a graduate textbook for econometricians and statisticians containing developments in the field. It emphasises nonparametric methods for real world problems containing the mix of discrete and continuous data found in many applications.
Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1107196574
Category : Business & Economics
Languages : en
Pages : 757
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Book Description
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451866747
Category : Business & Economics
Languages : en
Pages : 41
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Book Description
This paper studies the effects of demand and supply shocks in the global crude oil market on several measures of countries' external balance, including the oil and non-oil trade balances, the current account, and changes in net foreign assets (NFA) during 1975-2004. We explicitly take a global perspective. In addition to the U.S., the Euro area and Japan, we consider a number of country groups including oil exporters and middle-income oil-importing economies. We find that the effect of oil shocks on the merchandise trade balance and the current account, which depending on the source of the shock can be large, depends critically on the response of the nonoil trade balance, and differs systematically between the U.S. and other oil importing countries. Using the Lane-Milesi-Ferretti NFA data set, we document the presence of large and systematic (if not always statistically significant) valuation effects in response to oil shocks, not only for the U.S., but also for other oil-importing economies and for oil exporters. Our estimates suggest that increased international financial integration will tend to cushion the effect of oil shocks on NFA positions for major oil exporters and the U.S., but may amplify it for other oil importers.
Author: Barry E. Jones
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 58
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Author: Chris Downing
Publisher:
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Category : Interest rates
Languages : en
Pages : 60
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Author: Mark A. Hooker
Publisher:
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Category : Macroeconomics
Languages : en
Pages : 36
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Author:
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Category : Business
Languages : en
Pages : 88
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