EconPapers    
Economics at your fingertips  
 

BOOTSTRAPPING IN VECTOR AUTOREGRESSIONS: AN APPLICATION TO THE PORK SECTOR

Dwi Susanto, Hector O. Zapata and Gail Cramer

No 20051, 2004 Annual meeting, August 1-4, Denver, CO from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Standard bootstrap method is used to generate confidence intervals (CIs) of impulse response functions of VAR and SVAR models in the pork sector. In the VAR model, the bootstrap method does not produce significant different results from Monte Carlo simulations. In the SVAR analysis, on the other hand, the bootstrap CIs are significantly different from Monte Carlo CIs after a six period forecast intervals. This suggests that the choice of method used to measure reliability of IRFs is not trivial. Furthermore, bootstrap CIs in SVAR model seem to be more stable than MC CIs, which tend to be wider in the longer horizons.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 22
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://ageconsearch.umn.edu/record/20051/files/sp04su02.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea04:20051

DOI: 10.22004/ag.econ.20051

Access Statistics for this paper

More papers in 2004 Annual meeting, August 1-4, Denver, CO from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().

 
Page updated 2020-08-17
Handle: RePEc:ags:aaea04:20051