The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
نویسنده
چکیده
The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in a given period (e.g. the latest observation) by conditioning on the observed data in that period. To calculate asymptotically valid confidence intervals we use the delta method and two bootstrap variants. As an illustration we analyze the uncertainty of (US) output gap estimates in a system of output, consumption, and investment.
منابع مشابه
Understanding Trend and Cycle in Asset Values
This paper uses restrictions implied by cointegration to identify the permanent and transitory elements (the “trendÔand “cyclicalÔ) of household asset wealth. We focus our attention on a cointegrated system of three aggregate variables that are clearly central to the behavior of household spending: consumption, asset wealth and labor earnings. Because this cointegrated system is motivated by a ...
متن کاملFads Models with Markov Switching Hetroskedasticity: decomposing Tehran Stock Exchange return into Permanent and Transitory Components
Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using unobserved component Markov switching model (UC-MS) for the 3/27/2010 until 8/3/2015 period. In this model, stock returns are decomposed into two components; a permanent componen...
متن کاملTesting Intertemporal Rational Expectations Model with State Uncertainty: An Application to the Permanent Income Hypothesis
In this paper we take a different modeling approach based on the component driven (CD) model developed in Kuan, Huang, and Tsay (2003) to test the permanent income hypothesis (PIH), an example of intertemporal choice models. A key feature of this approach is that it explicitly allows for state uncertainty. By assuming that the labor income follows a CD process, we show that the agent’s percepti...
متن کاملPermanent and Transitory Movements in Labor Income: an Explanation for "excess Smoothness" in Consumption
Many have argued that if labor hicome is difference stationary, the permanent income hypothesis predicts consumption should be relatively volatile. In US an-gregate data, labor income is well-characterized as having a unit root; however consumption turns out to be relatively smooth. This anomaly is known as Deaton's paradox. We resolve Deaton^s paradox by providing decompositions of labor incom...
متن کاملCamera Arrangement in Visual 3D Systems using Iso-disparity Model to Enhance Depth Estimation Accuracy
In this paper we address the problem of automatic arrangement of cameras in a 3D system to enhance the performance of depth acquisition procedure. Lacking ground truth or a priori information, a measure of uncertainty is required to assess the quality of reconstruction. The mathematical model of iso-disparity surfaces provides an efficient way to estimate the depth estimation uncertainty which ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2011