Bootstrap a multivariate Threshold Autoregressive (TVAR) model

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Description

Recursive bootstrap of a multivariate Threshold VAR (TVAR)

Usage

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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

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

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