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Provedor de dados:  AgEcon
País:  United States
Título:  BOOTSTRAPPING IN VECTOR AUTOREGRESSIONS: AN APPLICATION TO THE PORK SECTOR
Autores:  Susanto, Dwi
Zapata, Hector O.
Cramer, Gail L.
Data:  2004-05-17
Ano:  2004
Palavras-chave:  Research Methods/ Statistical Methods
Resumo:  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.
Tipo:  Conference Paper or Presentation
Idioma:  Inglês
Identificador:  14276

http://purl.umn.edu/20051
Editor:  AgEcon Search
Relação:  American Agricultural Economics Association>2004 Annual meeting, August 1-4, Denver, CO
Selected Paper
Formato:  22

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