Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/100582 
Authors: 
Year of Publication: 
2014
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Time Series Analysis No. C16-V3
Publisher: 
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft, Kiel und Hamburg
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: 
C32
C15
E32
Document Type: 
Conference Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.