Modelling uncertainty: a recursive VAR bootstrapping approach

DOI10.1016/J.ECONLET.2007.09.026MaRDI QIDQ1934802zbMATH OpenOpenAlexFDO

Authors Amy Peng, Ling Yang

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.09.026

zbMATH Keywords

wild bootstrapstructural VARreal uncertaintynominal uncertainty

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• Bootstrap procedures under some non-i.i.d. models
• Jackknife, bootstrap and other resampling methods in regression analysis

Cited in

(2)

• Introducing model uncertainty by moving blocks bootstrap
• ARCH models for multi-period forecast uncertainty: a reality check using a panel of density forecasts

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