Modelling uncertainty: A recursive VAR bootstrapping approach

This paper develops a recursive VAR bootstrapping approach to produce time series measures of nominal and real uncertainty. The method is applied to US data and results compared to measures based on the Survey of Professional Forecasters.

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Year of publication:	2008
Authors:	Peng, Amy ; Yang, Ling
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 3, p. 478-481
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005275491