Use of Monte Carlo simulation / bootstrapping

Questions and discussions on Vector Autoregressions
cecedi
Posts: 8
Joined: Wed Aug 10, 2011 9:34 pm

Use of Monte Carlo simulation / bootstrapping

Unread post by cecedi »

Usually, we use the Monte Carlo simulation or Bootstrapping technique to compute the errors bands for point estimates. In this case, the point estimates are of course the average value of many point estimates from many different draws.
My question is that: in computing a VAR/VECM Decomposition of Forecast Variance, if I use the Monte Carlo simulation (or Bootstrapping) to generate only the average point estimates (but I don't need to report the standard errors), does this work make sense ? Or, what I'm doing is really stupid because nobody does like me ?

Best regards
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Use of Monte Carlo simulation / bootstrapping

Unread post by TomDoan »

There's nothing wrong with that. Many paper report the mean from bootstrapping or simulation as the "center" of the distribution. However, why would you go to that work and not also do bands.
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