The estimation uncertainty of permanent-transitory decompositions in co-integrated systems

Sven Schreiber

VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association

Abstract: The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a given period (e.g. the latest observation) by conditioning on the observed data in 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.

JEL-codes: C15 C32 E32 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/100582/1/VfS_2014_pid_714.pdf (application/pdf)

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 cointegrated systems (2011)
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:zbw:vfsc14:100582

Access Statistics for this paper

More papers in VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().