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作者：Li, HY; Maddala, GS
作者单位：Chinese University of Hong Kong; University System of Ohio; Ohio State University
摘要：In many practical applications, one is interested in obtaining confidence intervals for nonlinear functions of the parameters. This paper considers the following different methods: Fieller's method, Taylor's series expansion, and bootstrap methods. Compared to some of the earlier results in the empirical studies that are against the application of bootstrap, our results suggest a different conclusion in favor of the bootstrap methods.
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作者：Waggoner, DF; Zha, T
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions. This paper develops Bayesian methods for computing the exact finite-sample distribution of conditional forecasts. It broadens the class of conditional forecasts to which the methods can be applied. The methods work for both structural and reduced-form VAR models and, in contrast to common practices, account for parameter uncertainty in ...
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作者：Diebold, FX; Hahn, JY; Tay, AS
作者单位：New York University; University of Pennsylvania; National Bureau of Economic Research; University of Michigan System; University of Michigan; National University of Singapore
摘要：We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under which a technique of density forecast calibration can be used to improve deficient density forecasts, and we show how the calibration method can be used to generate good density forecasts from econ...
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作者：Auten, G; Carroll, R
作者单位：United States Department of the Treasury
摘要：Research on the distribution of income during the 1980s has identified a trend towards increasing inequality, which may be the continuation and acceleration of trends spanning several decades. This paper explores to what extent behavioral responses to the tax changes during the 1980s may also explain the rising inequality. The 1986 Tax Reform Act is used as a natural experiment to explore the roles played by both taxes and a variety of nontax factors. Our principal finding is that both tax rat...
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作者：Kilian, L
作者单位：University of Michigan System; University of Michigan; Centre for Economic Policy Research - UK
摘要：A Monte Carlo analysis of the coverage accuracy and average length of alternative bootstrap confidence intervals for impulse-response estimators shows that the accuracy of equal-tailed and symmetric percentile-t intervals can be poor and erratic in small samples (both in models with large roots and in models without roots near the unit circle). In contrast, some percentile bootstrap intervals may be both shorter and more accurate. The accuracy of percentile-t intervals improves with sample siz...
