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

View source: R/VAR.Boot.R

VAR.BootR Documentation

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

Description

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

Usage

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

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

VAR.etp documentation built on July 2, 2022, 1:05 a.m.