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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2006"

AuteursH.P. Boswijk, P.H. Franses
TitelRobust inference on average economic growth
TijdschriftOxford Bulletin of Economics and Statistics
Jaargang68
Jaar2006
Nummer3
Pagina's345-370
ISSN03059049
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
SamenvattingWe discuss a method to estimate the confidence bounds for average economic growth, which is robust to misspecification of the unit root property of a given time series. We derive asymptotic theory for the consequences of such misspecification. Our empirical method amounts to an implementation of the subsampling procedure advocated in Romano and Wolf (Econometrica, 2001, Vol. 69, p. 1283). Simulation evidence supports the theory and it also indicates the practical relevance of the subsampling method. We use quarterly postwar US industrial production for illustration and we show that non-robust approaches rather lead to different conclusions on average economic growth than our robust approach. JEL Classification numbers: C15, C22, O47.
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