VAR.etp (version 0.7)

VAR.Boot: 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

Value

coef

coefficient matrix

resid

matrix of residuals

sigu

residual covariance matrix

Bias

Bootstrap Bias Estimator

Details

Kilian's (1998) stationarity-correction is used for bias-correction

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")