Estimate or bootstraps a multivariate Threshold VAR

1 2 3 4 5 6 7 8 9 10 11 12 13 | ```
VECM.sim(data, B, VECMobject, beta, n = 200, lag = 1, type = c("simul",
"boot", "check"), include = c("const", "trend", "none", "both"),
starting = NULL, innov = rmnorm(n, varcov = varcov), varcov = diag(1,
k), show.parMat = FALSE, seed)
VECM.boot(VECMobject, show.parMat = FALSE, seed, check = TRUE)
TVECM.boot(TVECMobject, show.parMat = FALSE, seed, check = TRUE)
TVECM.sim(data, B, TVECMobject, nthresh = 1, Thresh, beta, n = 200,
lag = 1, type = c("simul", "boot", "check"), include = c("const",
"trend", "none", "both"), starting = NULL, innov = rmnorm(n, varcov =
varcov), varcov = diag(1, k), show.parMat = FALSE, seed)
``` |

`data` |
matrix of parameter to simulate |

`B` |
Matrix of coefficients to simulate |

`beta` |
The cointegrating value |

`n` |
Number of observations to create when type="simul" |

`lag` |
Number of lags to include in each regime |

`type` |
Whether a bootstrap or simulation is to employ. See details |

`include` |
Type of deterministic regressors to include. NOT WORKING PROPERLY CURRENTLY if not const |

`starting` |
Starting values when a simulation with given parameter matrix is made |

`innov` |
Innovations used for simulation. Should be matrix of dim nxk. By default multivariate normal. |

`varcov` |
Variance-covariance matrix for the innovations. By default multivariate normal is used. |

`show.parMat` |
Logical. Should the parameter matrix be shown? Useful to understand how to give right input |

`seed` |
Optional. Seed for the random number generation. |

`check` |
When performing a bootstrap replication, check if taking original residuals (instead of resampled) leads to the original data. |

`TVECMobject,VECMobject` |
Object computed by function |

`nthresh` |
number of threshold (see details) |

`Thresh` |
The threshold value(s). Vector of length nthresh |

This function offers the possibility to generate series following a
VECM/TVECM from two approaches: bootstrap or simulation. `VECM.sim`

is
just a wrapper for `TVECM.sim`

.

When the argument `matrix`

is given, on can only simulate a VECM
(`nthresh`

=0) or TVECM (`nthresh`

=1 or 2). One can have a
specification with constant (`"const"`

), `"trend"`

, `"both"`

or `"none"`

(see argument `include`

). Order for the parameters is
ECT/include/lags for VECM and ECT1/include1/lags1/ECT2/include2/lags2 for
TVECM. To be sure that once is using it correctly, setting ```
show.parMat
= TRUE
```

will show the matrix of parameters together with their values and
names.

The argument `beta`

is the contegrating value on the right side of the
long-run relationship, and hence the function use the vector (1,-beta). The
`innov`

argument specifies the innovations. It should be given as a
matrix of dim nxk, (here `n` does not include the starting values!), by
default it uses a multivariate normal distribution, with covariance matrix
specified by `varcov`

.

The starting values (of dim lags x k) can be given through argument
`starting`

. The user should take care for their choice, since it is not
sure that the simulated values will cross the threshold even once. Notice
that only one cointegrating value is allowed. User interested in simulating a
VECM with more cointegrating values should do use the VAR representation and
use `TVAR.sim`

.

The second possibility is to bootstrap series. This is done on a object
generated by `TVECM`

(or `VECM`

). A simple residual
bootstrap is done, or one can simulate a series with the same parameter
matrix and with normal distributed residuals (with variance pre-specified),
corresponding to Monte-carlo simulations.

One can alternatively give only the series, and then the function will call
internally `TVECM`

.

A matrix with the simulated/bootstraped series.

Matthieu Stigler

`TVECM`

to estimate a TVECM, `VAR.sim`

to
simulate/bootstrap a VAR.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 | ```
###reproduce example in Enders (2004, 2 edition) p. 350,
# (similar example in Enders (2010, 3 edition) 301-302).
if(require(mnormt)){
#see that the full "VAR" coefficient matrix is:
A <- matrix(c(-0.2, 0.2, 0.2, -0.2), byrow=TRUE, ncol=2)
# but this is not the input of VECM.sim. You should decompose into the a and b matrix:
a<-matrix(c(-0.2, 0.2), ncol=1)
b<-matrix(c(1,-1), nrow=1)
# so that:
a%*%b
# The a matrix is the input under argument B, while the b matrix is under argument beta:
# (the other zeros in B are for the not-specified lags)
innov<-rmnorm(100, varcov=diag(2))
startVal <- matrix(0, nrow=2, ncol=1)
Bvecm <- rbind(c(-0.2, 0,0), c(0.2, 0,0))
vecm1 <- VECM.sim(B=Bvecm, beta=1,n=100, lag=1,include="none", innov=innov, starting=startVal)
ECT <- vecm1[,1]-vecm1[,2]
#add an intercept as in panel B
Bvecm2 <- rbind(c(-0.2, 0.1,0,0), c(0.2,0.4, 0,0))
vecm2 <- VECM.sim(B=Bvecm2, n=100,beta=1, lag=1,include="const", innov=innov, starting=startVal)
par(mfrow=c(2,1))
plot(vecm1[,1], type="l", main="Panel a: no drift or intercept", ylab="", xlab="")
lines(vecm1[,2], lty=2)
plot(vecm2[,1], type="l", main="Panel b: drift terms (0.1)", ylab="", xlab="")
lines(vecm2[,2], lty=2)
}
##Bootstrap a TVAR with 1 threshold (two regimes)
data(zeroyld)
dat<-zeroyld
TVECMobject<-TVECM(dat, nthresh=1, lag=1, ngridBeta=20, ngridTh=20, plot=FALSE)
TVECM.sim(TVECMobject=TVECMobject,type="boot")
##Check the bootstrap
TVECM.sim.check <- TVECM.sim(TVECMobject=TVECMobject,type="check")
all(TVECM.sim.check==dat)
``` |

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.