Bootstrap in the state space object
Posted: Tue Jan 15, 2013 4:25 pm
Hi all,
Has anybody had experience with bootstrapping coefficient estimates and standard errors in the Eviews state space object? I am particualrly interested in bootstrapped standard errors for the time-varying NAIRU in a kalman filtered Phillips curve model.
If anyone has code, or there are any add-ins that allow this I would love to know.
Regards
Tim
Has anybody had experience with bootstrapping coefficient estimates and standard errors in the Eviews state space object? I am particualrly interested in bootstrapped standard errors for the time-varying NAIRU in a kalman filtered Phillips curve model.
If anyone has code, or there are any add-ins that allow this I would love to know.
Regards
Tim