Variance Analysis

Variance of Moving and Stationary Block Bootstrap

The first graph shows the estimator of the variance at each possible block size. The second graph shows the standard deviation of the variance estimator throughout the $B=10000$ bootstrap replications. Lastly, the last graph shows the MSE of the variance estimator.

Total domestic inflation (D4L_CPI)

Domestic core inflation (D4L_CPIXFE)

Import Prices (D4L_IPEI)

Exchange rate (GTQ/USD) (D4L_S)

Monetary base (D4L_MB)

PCE core inflation (D4LCPIRW)

Monetary policy rate (RS)

Effective Federal Funds Rate (RS_RW)

Domestic real GDP (D4L_GDP)

Real GDP of the US (D4LGDPRW)

Bias and Variance of MSE of the Variance estimator

Bias and variance decomposition for MSE of standard deviation estimator.

Total domestic inflation bias and variance analysis

Domestic core inflation bias and variance analysis

Import Prices bias and variance analysis

Exchange rate bias and variance analysis

Monetary base bias and variance analysis

PCE core inflation bias and variance analysis

Monetary policy rate bias and variance analysis

Effective Federal Funds Rate bias and variance analysis

Domestic real GDP bias and variance analysis

Real GDP of the US bias and variance analysis