Modelling uncertainty: a recursive VAR bootstrapping approach

DOI10.1016/J.ECONLET.2007.09.026zbMath1255.91368OpenAlexW2005251387MaRDI QIDQ1934802

Ling Yang, Amy Peng

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

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

Cites Work

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

This page was built for publication: Modelling uncertainty: a recursive VAR bootstrapping approach