The estimation uncertainty of permanent-transitory decompositions in cointegrated systems

Sven Schreiber

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 use the delta method and two bootstrap variants. As an illustration we analyze the uncertainty of (US) output gap estimates in a system of output, consumption, and investment.

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Year of publication:	2011 ; this version: February 2011
Authors:	Schreiber, Sven
Publisher:	Düsseldorf : Hans-Böckler-Stiftung
Subject:	transitory components \| VECM \| delta method \| bootstrap \| Kointegration \| Cointegration \| Schätztheorie \| Estimation theory \| Theorie \| Theory \| Schätzung \| Estimation \| Kapazitätsauslastung \| Capacity utilization \| USA \| United States