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Recursive bootstrap of a multivariate Threshold VAR (TVAR)
TVAR.boot(TVARobject, innov, seed, ...)
Object of class TVAR
generated by function
TVAR
Innovations used for bootstrap. If missing, residuals are resampled.
Optional. Seed for the random resampling function.
Further arguments passed to the underlying (un-exported)
TVAR.gen
function
A matrix with the bootstraped series.
The function bootstraps a given model. This is done on a object generated by TVECM (or VECM). A simple residual recursive bootstrap is done.
TVAR
to estimate a TVAR, VAR.sim
to
simulate/bootstrap a VAR, TVECM.sim
to simulate/bootstrap a
TVECM.
# NOT RUN {
##Bootstrap a TVAR with two threshold (three regimes)
data(zeroyld)
serie<-zeroyld
mod <- TVAR(data=serie,lag=1, nthresh=1)
TVAR.boot(mod)
# }
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