Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models identified by conditional heteroskedasticity are reviewed and compared in a Monte Carlo study. The model is a SVAR model with generalized autoregressive conditional...

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...

In recent years, there has been a recognition that point forecasts of the semiconductor industry sales may often be of limited value. There is substantial interest for a policy maker or an individual investor in knowing the degree of uncertainty that attaches to the point forecast before...