FCVARsimBS: Draw Bootstrap Samples from the FCVAR Model

In FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR

Draw Bootstrap Samples from the FCVAR Model

Description

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).

Usage

FCVARsimBS(data, model, NumPeriods)

Arguments

data	A T x p matrix of starting values for the simulated realizations.
model	A list of estimation results, just as if estimated from FCVARest. The parameters in model can also be set or adjusted by assigning new values.
NumPeriods	The number of time periods in the simulation.

Value

A NumPeriods by p matrix xBS of simulated bootstrap values.

See Also

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()

Examples

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)

FCVAR documentation built on May 5, 2022, 9:06 a.m.