Modelling uncertainty: A recursive VAR bootstrapping approach
Amy (Chen) Peng () and
Economics Letters, 2008, vol. 99, issue 3, 478-481
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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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:99:y:2008:i:3:p:478-481
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