Berkowitz, Jeremy; Birgean, Ionel; Kilian, Lutz - Federal Reserve Board (Board of Governors of the … - 1999
In recent years, there has been increasing interest in nonparametric bootstrap inference for economic time series …. Nonparametric resampling techniques help protect against overly optimistic inference in time series models of unknown structure … macroeconomic time series. For each algorithm, we evaluate the effective coverage accuracy of impulse response and spectral density …