FCVARsimBS | R Documentation |
FCVARsimBS
simulates the FCVAR model as specified by
input model
and starting values specified by data
.
It creates a wild bootstrap sample by augmenting each iteration
with a bootstrap error. The errors are sampled from the
residuals specified under the model
input and have a
positive or negative sign with equal probability (the Rademacher distribution).
FCVARsimBS(data, model, NumPeriods)
data |
A T x p matrix of starting values for the simulated realizations. |
model |
A list of estimation results, just as if estimated from |
NumPeriods |
The number of time periods in the simulation. |
A NumPeriods
by p matrix xBS
of simulated bootstrap values.
FCVARoptions
to set default estimation options.
FCVARestn
for the specification of the model
.
Use FCVARsim
to draw a sample from the FCVAR model.
For simulations intended for bootstrapping statistics, use FCVARsimBS
.
Other FCVAR auxiliary functions:
FCVARforecast()
,
FCVARlikeGrid()
,
FCVARsim()
,
FracDiff()
,
plot.FCVAR_grid()
opt <- FCVARoptions() opt$gridSearch <- 0 # Disable grid search in optimization. opt$dbMin <- c(0.01, 0.01) # Set lower bound for d,b. opt$dbMax <- c(2.00, 2.00) # Set upper bound for d,b. opt$constrained <- 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no. x <- votingJNP2014[, c("lib", "ir_can", "un_can")] results <- FCVARestn(x, k = 2, r = 1, opt) xBS <- FCVARsimBS(x[1:10, ], results, NumPeriods = 100)
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