Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/105948
Authors: 
Schreiber, Sven
Year of Publication: 
2011
Series/Report no.: 
IMK Working Paper 3/2011
Abstract: 
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in agiven period (e.g. the latest observation) by conditioning on the observed datain that period. To calculate asymptotically valid confidence intervals we usethe delta method and two bootstrap variants. As an illustration we analyze theuncertainty of (US) output gap estimates in a system of output, consumption, and investment.
Subjects: 
transitory components
VECM
delta method
bootstrap
JEL: 
C32
C15
E32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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