Arbeitspapier
The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in agiven period (e.g. the latest observation) by conditioning on the observed datain that period. To calculate asymptotically valid confidence intervals we usethe delta method and two bootstrap variants. As an illustration we analyze theuncertainty of (US) output gap estimates in a system of output, consumption, and investment.
- Sprache
-
Englisch
- Erschienen in
-
Series: IMK Working Paper ; No. 3/2011
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Statistical Simulation Methods: General
Business Fluctuations; Cycles
- Thema
-
transitory components
VECM
delta method
bootstrap
Kointegration
Schätztheorie
Theorie
Schätzung
Kapazitätsauslastung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schreiber, Sven
- Ereignis
-
Veröffentlichung
- (wer)
-
Hans-Böckler-Stiftung, Institut für Makroökonomie und Konjunkturforschung (IMK)
- (wo)
-
Düsseldorf
- (wann)
-
2011
- Handle
- URN
-
urn:nbn:de:101:1-201202285159
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schreiber, Sven
- Hans-Böckler-Stiftung, Institut für Makroökonomie und Konjunkturforschung (IMK)
Entstanden
- 2011
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