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"Bootstrapping Macroeconometric Models,"
2003, Studies in Nonlinear Dynamics & Econometrics,
Vol. 7: No. 4, Article 1.
This paper outlines a bootstrapping approach to the estimation and
analysis of macroeconometric models.
It integrates for dynamic, nonlinear, simultaneous equation models
the bootstrapping approach to evaluating estimators
initiated by Efron (1979) and the stochastic simulation approach to
evaluating models' properties initiated by Adelman and Adelman (1959).
It also estimates for a particular model the gain in coverage accuracy
from using bootstrap confidence intervals over asymptotic confidence