The estimation uncertainty of permanent-transitory decompositions in cointegrated systems

Sven Schreiber

No 3-2011, IMK Working Paper from IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute

Abstract: 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 usethe delta method and two bootstrap variants. As an illustration we analyze theuncertainty of (US) output gap estimates in a system of output, consumption, and investment.

Keywords: transitory components; VECM; delta method; bootstrap (search for similar items in EconPapers)
JEL-codes: C15 C32 E32 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: The estimation uncertainty of permanent-transitory decompositions in co-integrated systems (2019)
Working Paper: The estimation uncertainty of permanent-transitory decompositions in co-integrated systems (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:imk:wpaper:3-2011

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