VAR.Boot: Bootstrapping VAR(p) model: bias-correction based on the...

Description Usage Arguments Details Value Author(s) References Examples

Description

The function returns bias-corrected parmater estimators and Bias estimators based on the bootstrap

Usage

1
VAR.Boot(x, p, nb = 200, type = "const")

Arguments

x

data matrix in column

p

AR order

nb

number of bootstrap iterations

type

"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Details

Kilian's (1998) stationarity-correction is used for bias-correction

Value

coef

coefficient matrix

resid

matrix of residuals

sigu

residual covariance matrix

Bias

Bootstrap Bias Estimator

Author(s)

Jae H. Kim

References

Kilian, L. (1998). Small sample confidence intervals for impulse response functions, The Review of Economics and Statistics, 80, 218 - 230.

Examples

1
2
data(dat)
VAR.Boot(dat,p=2,nb=200,type="const")

Example output

$coef
         inv(-1)    inc(-1)    con(-1)     inv(-2)    inc(-2)      con(-2)
inv -0.313134712  0.1522820  0.9669778 -0.13231478 0.13310074  0.982769751
inc  0.040878078 -0.1410306  0.2920113  0.04937668 0.03603064  0.015457045
con -0.001487944  0.2242510 -0.2620706  0.03877405 0.36558512 -0.009665834
          const
inv -0.01853559
inc  0.01454681
con  0.01236188

$resid
                inv           inc           con
 [1,]  1.167961e-02 -3.628457e-03  7.183571e-03
 [2,]  6.061971e-02  5.190462e-03  2.646193e-04
 [3,] -5.187768e-02 -2.620752e-03 -2.227960e-02
 [4,]  1.299927e-02 -1.348087e-02  1.198013e-02
 [5,]  9.749429e-03  8.763777e-03  9.451210e-03
 [6,]  4.325437e-02 -3.059172e-03  3.147172e-03
 [7,] -4.349314e-03 -6.742411e-03  1.419596e-03
 [8,] -1.715111e-03  4.366645e-03 -6.068622e-03
 [9,] -6.096475e-03 -2.601428e-05 -4.294678e-03
[10,] -1.487348e-01 -6.664165e-03 -1.472727e-02
[11,]  1.418439e-01  2.773675e-03 -2.739531e-03
[12,]  6.875216e-02 -1.083782e-03  4.661354e-03
[13,]  3.555086e-02 -6.569487e-04 -8.388699e-03
[14,] -4.700249e-03  4.836416e-03  1.160381e-02
[15,]  2.513002e-02 -6.312604e-03 -1.927913e-02
[16,]  6.178777e-03 -5.557338e-03 -3.816131e-03
[17,]  3.991809e-02  2.723447e-02  9.167670e-03
[18,] -4.540991e-02  3.470650e-03  4.164830e-03
[19,]  1.127930e-02  1.273302e-02  4.884880e-03
[20,] -2.634087e-02  5.509699e-04  4.070298e-03
[21,] -2.544909e-02 -6.646128e-03 -3.494237e-03
[22,]  6.229759e-03 -1.701057e-02 -1.992016e-03
[23,] -2.004381e-02 -4.755693e-03 -4.571497e-03
[24,] -3.464929e-02  1.969034e-02 -3.138168e-05
[25,] -3.021587e-02 -4.226037e-02 -3.506662e-02
[26,] -3.032634e-02 -3.549502e-03  1.522219e-03
[27,] -6.186218e-02 -1.026769e-02 -5.352392e-03
[28,] -3.063594e-02 -8.010041e-03 -3.863370e-03
[29,]  9.879904e-02  4.843748e-04 -2.187169e-04
[30,] -4.832970e-02  1.163749e-02 -6.557990e-04
[31,]  1.371575e-02  2.331641e-03  4.380515e-03
[32,]  1.843430e-02  6.876475e-03 -8.768473e-04
[33,]  4.734598e-02  3.490204e-03  5.434232e-03
[34,] -2.698281e-02  2.171894e-03  2.310956e-03
[35,]  3.604375e-02  7.671943e-03 -6.503265e-04
[36,]  5.688182e-02  1.074951e-02  3.607950e-03
[37,]  1.492046e-02 -1.644976e-02 -9.373094e-04
[38,] -9.417062e-03  1.036242e-02  4.713040e-03
[39,]  1.095775e-01  1.711994e-02  9.417337e-03
[40,]  4.971877e-02  1.243174e-02  4.712123e-03
[41,]  3.471218e-04 -5.016291e-03  4.751252e-03
[42,] -1.216976e-02 -2.121529e-02 -8.338615e-03
[43,]  2.025677e-02  1.353749e-02  1.155170e-02
[44,] -1.757936e-02  5.413465e-03  5.167994e-03
[45,] -2.683503e-02  1.602724e-02  1.119132e-03
[46,]  1.858648e-02  7.410066e-03  1.144393e-02
[47,] -4.633837e-02 -6.823449e-03 -2.173634e-02
[48,] -2.463985e-02  8.100680e-03  1.048728e-02
[49,] -7.165254e-06  6.347802e-03  1.025676e-02
[50,]  3.474619e-02  2.114208e-03  1.545006e-02
[51,] -5.830277e-02 -1.394620e-02 -8.420731e-03
[52,] -5.786109e-02 -1.346909e-03 -1.291008e-02
[53,] -3.014736e-02  8.028465e-03  2.800872e-03
[54,]  2.479852e-02 -1.395546e-03  4.507633e-03
[55,] -7.630384e-02  5.346657e-03 -1.457574e-04
[56,] -3.638676e-02  1.885323e-02  7.234714e-03
[57,] -5.326028e-02  1.649418e-03 -8.202364e-03
[58,] -1.772327e-02  1.191040e-02 -3.613607e-03
[59,] -4.918416e-02  2.209656e-02  1.618560e-02
[60,] -3.724583e-02 -2.172979e-02 -5.200260e-04
[61,] -4.941033e-03 -9.052675e-03  1.546221e-03
[62,]  8.858512e-03 -6.334538e-03  1.180164e-02
[63,]  2.235527e-02 -9.033164e-03 -4.625631e-03
[64,] -2.245329e-02  3.105906e-03 -4.962606e-03
[65,]  3.212867e-02 -4.318720e-03  6.605032e-03
[66,]  3.139077e-02 -1.567713e-02 -3.932521e-03
[67,] -2.448096e-02 -4.819702e-03  4.148933e-03
[68,] -7.526087e-03 -3.232481e-03  6.889167e-03
[69,] -1.275139e-03  2.207677e-03  1.721919e-03
[70,]  1.050028e-02 -8.392429e-03 -6.326508e-03
[71,]  3.249400e-02 -5.528233e-03 -1.549107e-03
[72,]  2.522229e-02  3.066586e-03 -2.348677e-03
[73,]  3.149042e-02 -1.350909e-02 -1.483059e-02

$sigu
             inv          inc          con
inv 0.0021325634 0.0000720592 1.238488e-04
inc 0.0000720592 0.0001375489 6.158030e-05
con 0.0001238488 0.0000615803 8.934092e-05

$Bias
         inv(-1)       inc(-1)      con(-1)       inv(-2)     inc(-2)
inv -0.006496260 -0.0062932187 -0.005758729 -0.0282363273 -0.01849576
inc  0.003052984 -0.0117013567 -0.003509643  0.0006541684 -0.01686488
con -0.000934722  0.0005616468 -0.001896894 -0.0048936314 -0.01067276
        con(-2)        const
inv -0.04837599 0.0018136030
inc -0.02566192 0.0012203803
con -0.01256429 0.0005639723

VAR.etp documentation built on May 1, 2019, 8:02 p.m.