Article ID Journal Published Year Pages File Type
5061965 Economics Letters 2008 4 Pages PDF
Abstract

This paper develops a recursive VAR bootstrapping approach to produce time series measures of nominal and real uncertainty. The method is applied to US data and results compared to measures based on the Survey of Professional Forecasters.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Modelling uncertainty: A recursive VAR bootstrapping approach
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