Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models PDF Download
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Author: Atsushi Inoue
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
It is common to conduct bootstrap inference in vector autoregressive (VAR) models based on the assumption that the underlying data-generating process is of finite-lag order. This assumption is implausible in practice. We establish the asymptotic validity of the residual-based bootstrap method for smooth functions of VAR slope parameters and innovation variances under the alternative assumption that a sequence of finite-lag order VAR models is fitted to data generated by a VAR process of possibly infinite order. This class of statistics includes measures of predictability and orthogonalized impulse responses and variance decompositions. Our approach provides an alternative to the use of the asymptotic normal approximation and can be used even in the absence of closed-form solutions for the variance of the estimator. We illustrate the practical relevance of our findings for applied work, including the evaluation of macroeconomic models.
Author: Atsushi Inoue
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
Author: Atsushi Inoue
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
It is common to conduct bootstrap inference in vector autoregressive (VAR) models based on the assumption that the underlying data-generating process is of finite-lag order. This assumption is implausible in practice. We establish the asymptotic validity of the residual-based bootstrap method for smooth functions of VAR slope parameters and innovation variances under the alternative assumption that a sequence of finite-lag order VAR models is fitted to data generated by a VAR process of possibly infinite order. This class of statistics includes measures of predictability and orthogonalized impulse responses and variance decompositions. Our approach provides an alternative to the use of the asymptotic normal approximation and can be used even in the absence of closed-form solutions for the variance of the estimator. We illustrate the practical relevance of our findings for applied work, including the evaluation of macroeconomic models.
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: Michael R. Chernick
Publisher: John Wiley & Sons
ISBN: 1118211596
Category : Mathematics
Languages : en
Pages : 337
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Book Description
A practical and accessible introduction to the bootstrap method——newly revised and updated Over the past decade, the application of bootstrap methods to new areas of study has expanded, resulting in theoretical and applied advances across various fields. Bootstrap Methods, Second Edition is a highly approachable guide to the multidisciplinary, real-world uses of bootstrapping and is ideal for readers who have a professional interest in its methods, but are without an advanced background in mathematics. Updated to reflect current techniques and the most up-to-date work on the topic, the Second Edition features: The addition of a second, extended bibliography devoted solely to publications from 1999–2007, which is a valuable collection of references on the latest research in the field A discussion of the new areas of applicability for bootstrap methods, including use in the pharmaceutical industry for estimating individual and population bioequivalence in clinical trials A revised chapter on when and why bootstrap fails and remedies for overcoming these drawbacks Added coverage on regression, censored data applications, P-value adjustment, ratio estimators, and missing data New examples and illustrations as well as extensive historical notes at the end of each chapter With a strong focus on application, detailed explanations of methodology, and complete coverage of modern developments in the field, Bootstrap Methods, Second Edition is an indispensable reference for applied statisticians, engineers, scientists, clinicians, and other practitioners who regularly use statistical methods in research. It is also suitable as a supplementary text for courses in statistics and resampling methods at the upper-undergraduate and graduate levels.
Author: Nigar Hashimzade
Publisher: Edward Elgar Publishing
ISBN: 0857931024
Category : Business & Economics
Languages : en
Pages : 627
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Book Description
This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Author:
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Category : Mathematics
Languages : en
Pages : 812
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Author:
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Category : Mathematical statistics
Languages : en
Pages : 648
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Author: Jeremy Berkowitz
Publisher:
ISBN:
Category : Resampling (Statistics)
Languages : en
Pages : 58
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Category : Business
Languages : en
Pages : 2358
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Author:
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Category : Humanities
Languages : en
Pages : 452
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