VAR.Boot

The function returns bias-corrected parmater estimators and Bias estimators based on the bootstrap

A collection of the functions for estimation, hypothesis testing, prediction for stationary vector autoregressive models.

Jae Kim

VAR.etp

VAR Modelling: Estimation, Testing, and Prediction

VAR.Boot function

<dl> <dt>x</dt>
<dd>data matrix in column</dd> <dt>p</dt>
<dd>AR order</dd> <dt>nb</dt>
<dd>number of bootstrap iterations</dd> <dt>type</dt>
<dd>"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend</dd></dl>

Arguments

Author

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

<dl>

 <dt>x</dt>
<dd>data matrix in column</dd>

 <dt>p</dt>
<dd>AR order</dd>

 <dt>nb</dt>
<dd>number of bootstrap iterations</dd>

 <dt>type</dt>
<dd>"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend</dd>

</dl>

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

Description

Usage

Value

Arguments

Author

Details

References

Examples