TVAR.boot: Bootstrap a multivariate Threshold Autoregressive (TVAR)...

Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/TVAR.sim.R

Description

Recursive bootstrap of a multivariate Threshold VAR (TVAR)

Usage

1
TVAR.boot(TVARobject, innov, seed, ...)

Arguments

TVARobject

Object of class TVAR generated by function TVAR

innov

Innovations used for bootstrap. If missing, residuals are resampled.

seed

Optional. Seed for the random resampling function.

...

Further arguments passed to the underlying (un-exported) TVAR.gen function

Details

The function bootstraps a given model. This is done on a object generated by TVECM (or VECM). A simple residual recursive bootstrap is done.

Value

A matrix with the bootstraped series.

Author(s)

Matthieu Stigler

See Also

TVAR to estimate a TVAR, VAR.sim to simulate/bootstrap a VAR, TVECM.sim to simulate/bootstrap a TVECM.

Examples

1
2
3
4
5
##Bootstrap a TVAR with two threshold (three regimes)
data(zeroyld)
serie<-zeroyld
mod <- TVAR(data=serie,lag=1, nthresh=1)
TVAR.boot(mod)

Example output

Best unique threshold 10.869 
               [,1]         [,2]
  [1,]  2.183000000  1.575000000
  [2,]  2.204210940  1.562358135
  [3,]  1.530043970  0.969729366
  [4,]  1.668798291  0.497597660
  [5,]  1.594147163  0.210368190
  [6,]  1.684610182  0.174613801
  [7,]  1.096252821 -0.468638946
  [8,]  0.813001931 -0.925127127
  [9,]  0.475947028 -0.946713710
 [10,] -0.030046196 -3.105943746
 [11,] -0.056166722 -3.454753924
 [12,] -0.248686124 -3.679200407
 [13,] -0.253190144 -3.357974502
 [14,] -0.582338730 -3.866413245
 [15,] -0.609737424 -4.245736320
 [16,] -0.230656290 -3.814458473
 [17,] -0.649946393 -3.776455414
 [18,] -0.601696199 -3.557514599
 [19,] -0.329508351 -2.657317940
 [20,] -0.400387162 -2.853700967
 [21,] -0.413872293 -2.822527938
 [22,] -0.409869861 -2.114457550
 [23,] -0.420417307 -2.374833709
 [24,]  0.253246963 -2.067707395
 [25,]  0.320386900 -1.959608786
 [26,]  0.448579720 -1.486858867
 [27,]  0.655142888 -0.731900141
 [28,]  0.754693868 -0.643555448
 [29,]  0.698890087 -0.750835184
 [30,]  0.471093441 -0.810602515
 [31,]  0.498220205 -0.675981000
 [32,]  0.628745224 -1.113484473
 [33,]  0.926625248 -0.444441945
 [34,]  0.916220747 -0.716940857
 [35,]  0.609701569 -1.304145259
 [36,]  0.083284601 -1.722075827
 [37,]  0.099574445 -1.904732906
 [38,]  0.187773993 -2.435768181
 [39,]  0.200179876 -2.290346709
 [40,]  0.349914296 -1.720673407
 [41,]  0.495908824 -1.876218366
 [42,]  0.140365954 -1.935109148
 [43,]  0.102153424 -1.530214158
 [44,]  0.064233010 -1.254220571
 [45,]  0.088913484 -1.461616605
 [46,] -0.305321371 -1.636729392
 [47,] -0.641237715 -1.746021363
 [48,] -0.946346536 -1.808373981
 [49,] -0.950950306 -1.737240228
 [50,] -0.773636627 -1.579484873
 [51,] -0.321152774 -1.262961601
 [52,] -0.334171269 -1.225365775
 [53,] -0.387691645 -1.229491494
 [54,] -0.238701224 -1.114965053
 [55,] -0.006818137 -0.647502597
 [56,]  0.052372160 -0.638839304
 [57,]  0.046182987 -0.735759140
 [58,]  0.181848109 -0.482713116
 [59,]  0.334556432 -0.728939351
 [60,]  0.263652776 -0.925492793
 [61,]  0.248831068 -0.859251209
 [62,]  0.336776065 -0.812916819
 [63,] -0.058088945 -1.279788180
 [64,]  0.469792957 -0.651270592
 [65,]  0.467041976 -0.691961426
 [66,] -0.212126150 -1.252592811
 [67,]  0.203927744 -0.949741766
 [68,]  0.233259799 -0.882602879
 [69,]  0.286594708 -0.767830070
 [70,]  0.266157693 -0.818683282
 [71,]  0.020872370 -1.225800886
 [72,]  0.310555644 -1.223388792
 [73,]  1.141947525 -0.063775072
 [74,]  1.083582503 -0.252578225
 [75,]  1.187258540  0.146176162
 [76,]  0.916814901 -0.547206957
 [77,]  0.827413174 -0.593286353
 [78,]  0.891266993 -0.336641188
 [79,]  1.000863533 -0.124879194
 [80,]  1.287768021  0.088169506
 [81,]  0.787809841 -0.218156572
 [82,]  0.151404990 -0.981843215
 [83,]  0.190427062 -0.917860211
 [84,]  0.177154650 -0.855498798
 [85,] -0.087137450 -1.031687241
 [86,] -0.111570326 -1.007059536
 [87,]  0.094951683 -1.009670844
 [88,] -0.150291828 -1.415223443
 [89,] -0.165273495 -1.409713418
 [90,] -0.070373570 -1.547541052
 [91,] -0.342306421 -1.603941879
 [92,]  0.056465209 -1.258661733
 [93,]  0.056323260 -1.060912008
 [94,]  0.209516960 -0.871123021
 [95,]  0.487302552 -0.629509867
 [96,]  0.404809655 -0.691876235
 [97,]  0.385355245 -0.689870873
 [98,]  0.007705024 -0.781649738
 [99,]  0.088163761 -0.778909729
[100,] -0.459817723 -1.150091416
[101,] -0.424254756 -0.991437961
[102,] -0.378487700 -1.034928528
[103,] -0.260788156 -1.528826737
[104,]  0.198888014 -0.689750748
[105,]  0.299077961 -0.846887041
[106,]  0.181524151 -1.074654444
[107,]  0.369826408 -0.903162768
[108,]  0.369689018 -0.258848570
[109,]  0.522596992 -0.507521273
[110,]  0.561577777 -0.444352229
[111,]  0.587118128 -0.350023733
[112,]  0.436408621 -0.691036608
[113,]  0.353846671 -0.752695683
[114,]  0.415318250 -1.024927090
[115,]  0.448489448 -0.946166200
[116,]  0.371654379 -1.126222699
[117,]  0.297362486 -0.343724637
[118,]  0.209937523 -0.236507671
[119,]  0.902414067  1.448678290
[120,]  0.423166059  0.323536162
[121,]  1.010911537  0.955917456
[122,]  0.780671947  0.659532166
[123,]  0.888637438  0.853821166
[124,]  2.105304547  2.074584448
[125,]  2.110237577  1.810936677
[126,]  2.400581091  2.256647141
[127,]  2.213517279  2.019296997
[128,]  2.299271396  1.984541632
[129,]  2.406494669  1.892038619
[130,]  2.480415509  2.207036550
[131,]  2.428357999  2.264288982
[132,]  2.173378525  2.132869026
[133,]  2.356526554  2.242465211
[134,]  2.513834258  1.961118466
[135,]  2.355111779  1.920218814
[136,]  2.725520550  2.792006359
[137,]  2.806905899  2.806937800
[138,]  2.679652233  2.673505862
[139,]  1.157518550 -1.540696993
[140,]  1.300323828 -1.185310057
[141,]  0.864437937 -1.433954920
[142,]  0.747529949 -1.446716631
[143,]  0.216190861 -1.330101249
[144,]  0.352146283 -1.046092366
[145,] -0.235529974 -1.511436318
[146,] -0.175650711 -1.773122132
[147,] -0.003207835 -1.781577894
[148,]  0.208567642 -1.095991490
[149,]  0.399757124 -0.635520496
[150,]  0.683422463 -0.080634599
[151,]  0.352978860 -0.334376285
[152,]  0.345593067 -0.291983421
[153,]  0.733488368 -0.002353265
[154,]  0.963578856  0.040370016
[155,]  1.256710322  0.023236911
[156,]  0.962323341 -0.480341643
[157,]  0.977327480  0.006867476
[158,]  1.074464219  0.197033432
[159,]  0.884080327 -0.646152712
[160,]  0.945207039 -0.382955765
[161,]  1.039712739 -0.440487344
[162,]  1.185876320  0.165115186
[163,]  0.953212158 -0.751841347
[164,]  0.304453086 -1.480457957
[165,]  0.243021712 -1.566576870
[166,] -0.097157962 -1.543485769
[167,]  0.099887602 -1.518086602
[168,]  0.101191630 -1.486444735
[169,] -0.165900812 -1.598400776
[170,] -0.221574126 -1.565748337
[171,] -0.857710871 -2.494087293
[172,] -0.758062387 -2.470071063
[173,] -0.685319368 -2.322826932
[174,] -1.079322635 -2.490988689
[175,] -1.059489887 -2.364600135
[176,] -0.997940699 -2.310033906
[177,] -1.123259946 -2.838502983
[178,] -0.976313144 -2.213886103
[179,] -0.852778282 -2.098169558
[180,] -0.765000188 -1.845563349
[181,] -0.776046119 -1.919990032
[182,] -0.768387763 -1.495551098
[183,] -1.033126149 -1.988638702
[184,] -0.557665436 -1.747096225
[185,] -0.644967530 -1.788616208
[186,] -0.808710866 -1.697522917
[187,] -0.960380196 -1.964130113
[188,] -0.832871788 -1.860375404
[189,] -0.873898638 -1.881658127
[190,] -0.506126589 -0.970178094
[191,] -0.636110142 -1.772064352
[192,] -0.599623490 -1.785894355
[193,] -0.608483774 -1.981876474
[194,] -0.586640066 -1.865021464
[195,] -0.750524155 -1.979910166
[196,] -0.625842183 -1.689861291
[197,] -0.975359039 -1.824444109
[198,] -1.246199076 -2.928406053
[199,] -1.758874034 -3.933043743
[200,] -1.713220372 -3.627967528
[201,] -1.669251305 -3.466165517
[202,] -1.744128815 -2.661790938
[203,] -1.684019766 -2.358417616
[204,] -1.852951044 -2.196856374
[205,] -1.921257495 -2.161303579
[206,] -2.312802132 -3.489258521
[207,] -2.504440024 -3.646366968
[208,] -2.651781197 -3.966883393
[209,] -2.742270230 -4.164900034
[210,] -2.650075648 -4.165347847
[211,] -2.657509166 -3.989479272
[212,] -3.154974760 -6.143126734
[213,] -3.553256153 -6.289169277
[214,] -3.047858039 -5.004379193
[215,] -3.170268675 -4.726022461
[216,] -3.368092987 -4.859648072
[217,] -3.233815254 -4.337443323
[218,] -3.151531707 -4.308141745
[219,] -3.656403697 -4.231684551
[220,] -3.666562811 -4.214244958
[221,] -3.770969394 -4.514053588
[222,] -4.129387360 -4.772444862
[223,] -3.781904566 -4.404925846
[224,] -3.758790534 -4.092416692
[225,] -3.567467609 -3.948576297
[226,] -3.613846511 -3.210136636
[227,] -3.571195971 -3.314025913
[228,] -3.586670369 -3.318484574
[229,] -3.524826501 -3.303019176
[230,] -4.335880489 -4.289688857
[231,] -3.872313393 -4.102460814
[232,] -3.895473007 -4.081117190
[233,] -4.503570924 -5.056505229
[234,] -4.383648736 -5.135783436
[235,] -4.090009870 -4.895948432
[236,] -3.754747583 -4.650556069
[237,] -3.717787233 -4.728012518
[238,] -3.364765664 -4.757755579
[239,] -3.456739113 -4.802865172
[240,] -3.319770675 -4.287779349
[241,] -3.462315634 -4.614499867
[242,] -3.447815606 -5.050121045
[243,] -3.565219904 -5.066883619
[244,] -3.676504064 -5.113127376
[245,] -3.217480540 -4.280649109
[246,] -3.327669538 -4.237742450
[247,] -3.358069283 -4.005770307
[248,] -3.715340645 -4.689560530
[249,] -3.775701625 -4.877475570
[250,] -3.649894900 -4.679152532
[251,] -3.811813618 -5.044362547
[252,] -3.688168730 -4.839260808
[253,] -3.246570914 -4.593157008
[254,] -3.181790256 -4.575106420
[255,] -3.365129693 -4.698092420
[256,] -3.272998434 -4.628537157
[257,] -3.262279534 -4.548669810
[258,] -2.837010763 -4.228434929
[259,] -2.956357361 -4.517154248
[260,] -3.057577013 -4.572391700
[261,] -3.364339059 -4.605991895
[262,] -3.309716196 -4.579891982
[263,] -3.467400093 -4.686332794
[264,] -3.219693797 -4.308910190
[265,] -3.081757339 -4.412633966
[266,] -2.954232410 -4.083694553
[267,] -3.176552511 -4.469940284
[268,] -3.296703107 -4.992268967
[269,] -3.810492695 -4.887886981
[270,] -2.925271109 -2.833026119
[271,] -2.816954551 -2.840327107
[272,] -2.717077157 -2.867406419
[273,] -2.516629051 -2.465189729
[274,] -2.006241354 -1.445569845
[275,] -1.929274349 -1.397071991
[276,] -1.920321538 -1.181473663
[277,] -2.104765741 -1.344190008
[278,] -1.939647997 -1.387070858
[279,] -2.038783399 -1.354237918
[280,] -2.585428995 -1.917885683
[281,] -2.926587941 -2.088761541
[282,] -2.906736686 -1.999700023
[283,] -2.600377265 -2.273619861
[284,] -2.544663221 -2.433865166
[285,] -2.535989146 -2.633390688
[286,] -1.779994666 -2.180970981
[287,] -2.259433598 -2.517987424
[288,] -2.404409011 -2.466720725
[289,] -2.767579451 -2.709519276
[290,] -2.054187368 -2.497258103
[291,] -1.735685196 -1.720321177
[292,] -0.986228775 -0.075311021
[293,] -1.066020365 -0.228101088
[294,] -0.727753958  0.480370307
[295,] -1.197667175 -0.092225805
[296,] -1.060180160 -0.346385208
[297,] -1.010853462 -0.475961426
[298,] -1.021634115 -0.325132852
[299,] -1.183962512 -0.810537796
[300,] -1.327125336 -1.126656849
[301,] -1.372660117 -1.382181170
[302,] -1.084097320 -0.856588113
[303,] -0.977374895 -0.807073344
[304,] -1.047857535 -0.939583338
[305,] -0.941974881 -0.580665498
[306,] -0.877343923 -0.634261900
[307,] -1.110870403 -0.836281091
[308,] -0.818018953 -0.326011760
[309,] -0.928771148 -0.472700741
[310,] -0.196161257  0.167286148
[311,] -0.246235848  0.017920232
[312,] -0.249355137  0.120805987
[313,] -0.308986989  0.114766222
[314,] -0.396681409  0.262964526
[315,] -0.301310813  0.307708362
[316,] -0.395241901 -0.320882192
[317,]  0.006508402 -0.065103041
[318,]  0.219286953  0.333224659
[319,] -0.601948066 -0.660140762
[320,] -1.602755641 -1.763822369
[321,] -0.999230849 -0.333963781
[322,] -0.891591295 -0.402037679
[323,] -0.753261657 -0.514105305
[324,] -0.775094631 -0.838789599
[325,] -0.533716611 -0.175185545
[326,] -0.349454032  0.015341330
[327,] -0.487992011  0.028638695
[328,] -0.502546096  0.061462415
[329,] -0.548500198 -0.097121705
[330,] -0.607690278 -0.222247443
[331,] -0.278201677  0.507778955
[332,] -0.074815147  0.141325432
[333,]  0.189946799  0.434605798
[334,]  0.398651967  0.850164486
[335,] -0.217924386 -0.194221193
[336,]  0.159836137  0.024608545
[337,]  0.147456499  0.224156321
[338,]  0.085196945 -0.140661722
[339,]  0.117627988 -0.165938185
[340,]  0.096963234 -0.316817653
[341,]  0.019792996 -0.357652529
[342,] -0.283133864 -0.369195508
[343,] -0.141398317 -0.314388968
[344,] -0.043119442 -0.236882098
[345,] -0.033696197 -0.136813438
[346,]  0.526884469  0.133626709
[347,]  0.642583951 -0.159251239
[348,]  0.690731517  0.325604453
[349,]  0.635151104  1.049366142
[350,]  0.684744456  0.925856295
[351,]  0.745375655  0.797763386
[352,]  0.907213777  0.823973812
[353,]  0.226904391  0.231903789
[354,]  0.236629742 -0.027447648
[355,]  0.391170580  0.279648630
[356,]  0.322332516  0.001768959
[357,]  0.305262191  0.045629031
[358,]  0.133600721 -0.146455226
[359,] -0.176943036 -0.240097904
[360,] -0.171853616 -0.368261689
[361,] -0.169060208 -0.489654688
[362,] -0.424132623 -1.215320494
[363,] -0.324974423 -0.982979438
[364,] -0.146854191 -0.833796442
[365,]  0.403968338 -0.533250285
[366,] -0.435700187 -1.473675519
[367,] -0.771621081 -2.073024208
[368,] -0.600574028 -1.782504080
[369,] -0.400359673 -1.362556721
[370,] -0.240721791 -0.521701993
[371,] -0.526828328 -1.298958777
[372,] -0.502401455 -1.294417811
[373,] -0.355994768 -1.212819274
[374,] -0.401593944 -1.484041851
[375,] -0.090108912 -0.845251229
[376,] -0.075243265 -1.354990072
[377,]  0.673452851 -0.938241861
[378,]  0.808828208 -1.137825682
[379,]  1.135721477 -1.134608865
[380,]  1.079697351 -1.179224207
[381,]  1.230207691 -0.845959685
[382,]  1.279969817 -0.447584975
[383,]  1.992832555  1.276383692
[384,]  1.726162305  0.563842304
[385,]  1.636277902  0.629757895
[386,]  1.825161976  1.097709886
[387,]  2.284102020  1.876153516
[388,]  2.325785173  2.035176344
[389,]  2.427406792  2.233066770
[390,]  1.859954045  1.520381616
[391,]  1.530899194  0.877984985
[392,]  1.929144010  1.162258440
[393,]  1.881146089  1.655183983
[394,]  2.009381144  1.790479170
[395,]  2.070161139  1.048389458
[396,]  2.278246110  1.222590887
[397,]  2.536168825  1.705952870
[398,]  2.485734299  2.200127832
[399,]  2.551408650  2.232016047
[400,]  2.263775939  1.572569905
[401,]  2.217551853  1.181664770
[402,]  1.978169223  0.837895983
[403,]  1.946303557  0.750500620
[404,]  1.667489291  0.272444994
[405,]  1.895654374  0.716656613
[406,]  1.961275182  0.957512506
[407,]  2.022878870  1.079306286
[408,]  2.508598347  1.233611152
[409,]  2.628549604  1.279393017
[410,]  3.393190317  1.826959801
[411,]  3.486737943  1.805654679
[412,]  3.506496209  1.841670060
[413,]  3.687249083  2.022307088
[414,]  3.644160124  2.475634867
[415,]  3.789871983  3.056882379
[416,]  3.944298408  3.254145621
[417,]  3.636094691  3.155743766
[418,]  3.744162297  3.434015146
[419,]  3.630019769  2.704805775
[420,]  3.632629140  2.234532313
[421,]  3.800016039  2.203522170
[422,]  3.445093601  1.618831329
[423,]  3.230077816  1.663680568
[424,]  3.129918752  1.745281672
[425,]  3.046086577  1.650639064
[426,]  3.023985784  1.764421053
[427,]  3.101442536  2.017800780
[428,]  3.490450839  3.380886123
[429,]  3.421262590  3.475631463
[430,]  3.495812767  3.134281169
[431,]  3.457337268  3.198864223
[432,]  3.588697967  3.451889791
[433,]  3.886799622  3.606140803
[434,]  3.949441094  3.633215388
[435,]  4.728852565  4.123868437
[436,]  4.573582909  3.741548409
[437,]  5.100024559  3.861208526
[438,]  5.076504063  4.280251278
[439,]  5.121893910  4.320645958
[440,]  5.248524586  3.849091961
[441,]  5.013993148  3.776870361
[442,]  5.392515145  4.540834037
[443,]  5.398748590  4.660284329
[444,]  5.060305597  4.502218868
[445,]  5.086070740  4.901410134
[446,]  4.548562558  4.581506682
[447,]  4.509670147  4.146277530
[448,]  4.466617985  4.102606985
[449,]  4.750608499  4.543941556
[450,]  4.805498376  3.792303697
[451,]  4.707573291  3.766670286
[452,]  4.788462871  3.789972400
[453,]  5.311572399  3.917411473
[454,]  5.503577054  4.012685200
[455,]  5.946605198  4.844344653
[456,]  5.780099722  4.483389008
[457,]  5.896770801  4.034928798
[458,]  5.938037309  4.137756113
[459,]  5.684428264  3.756727439
[460,]  5.911525185  4.983236503
[461,]  5.566631964  4.720838316
[462,]  5.618760203  4.934402111
[463,]  5.368430502  4.489458478
[464,]  5.448911350  4.507454456
[465,]  5.467238699  4.924907753
[466,]  5.578114906  4.965673454
[467,]  5.134202175  4.680845675
[468,]  5.143644826  4.504206154
[469,]  5.023995302  4.234865389
[470,]  5.225161132  4.469051505
[471,]  5.075472535  4.392586122
[472,]  4.737252152  3.656157239
[473,]  4.644928285  3.335368830
[474,]  4.186365348  3.235493694
[475,]  4.457526426  3.457549088
[476,]  4.327286976  3.154327888
[477,]  4.444784991  3.150521119
[478,]  4.102208818  2.681747779
[479,]  4.074504468  2.608787301
[480,]  3.930561265  2.581679916
[481,]  3.931826139  2.711065434
[482,]  3.917311411  2.421126145

tsDyn documentation built on May 29, 2017, 10:48 a.m.