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

In VAR.etp: VAR Modelling: Estimation, Testing, and Prediction

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 Aug. 31, 2023, 9:08 a.m.