Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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.
On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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.
Publisher:
ISBN:
Category :
Languages : en
Pages :
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.
On the Finite-sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series
Author: Jeremy Berkowitz
Publisher:
ISBN:
Category : Resampling (Statistics)
Languages : en
Pages : 58
Book Description
Publisher:
ISBN:
Category : Resampling (Statistics)
Languages : en
Pages : 58
Book Description
On the Finite-sample Accuracy of Nonparametric Resampling Alogorithms for Economic Time Series
Author: J. Berkowitz
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Nonparametric Econometrics
Author: Qi Li
Publisher: Princeton University Press
ISBN: 0691121613
Category : Business & Economics
Languages : en
Pages : 768
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.
Publisher: Princeton University Press
ISBN: 0691121613
Category : Business & Economics
Languages : en
Pages : 768
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.
Structural Vector Autoregressive Analysis
Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1107196574
Category : Business & Economics
Languages : en
Pages : 757
Book Description
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Publisher: Cambridge University Press
ISBN: 1107196574
Category : Business & Economics
Languages : en
Pages : 757
Book Description
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Oil Shocks and External Balances
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451866747
Category : Business & Economics
Languages : en
Pages : 41
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.
Publisher: International Monetary Fund
ISBN: 1451866747
Category : Business & Economics
Languages : en
Pages : 41
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.
Tests for Non-linear Dynamics in Systems of Non-stationary Economic Time Series
Author: Barry E. Jones
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 58
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 58
Book Description
Nonparametric Estimation of Multifactor Continuous Time Interest Rate Models
Author: Chris Downing
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 60
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 60
Book Description
Oil and the Macroeconomy Revisited
Author: Mark A. Hooker
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 36
Book Description
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 36
Book Description
The Fed in Print
Author:
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 88
Book Description
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 88
Book Description