sMA_CI: Hall's percentile interval bootstrap

In nielsaka/zeitreihe: Simulate, Estimate, Select, and Forecast Multiple Time Series Processes

Description

Hall's percentile interval bootstrap

Usage

sMA_CI(Y, p, h, alpha, reps)

Arguments

Y	A (K x N+p) matrix carrying the data for estimation. There are N observations for each of the K variables with p pre-sample values.
p	An integer scalar. The lag length of the VAR(p) system.
h	An integer scalar, the horizon.
reps

Examples

data("Canada", package = "vars")
dim(Canada)
B <- zeitreihe::ols_cholesky(Y = t(Canada), p = 2)
IRFs <- zeitreihe::sMA_CI(Y = t(Canada), 2, 20, 0.1, 100)

nielsaka/zeitreihe documentation built on March 17, 2020, 8:38 p.m.