tsDyn (version 0.9-44)

VAR.boot: Bootstrap a Vector Autoregressive (VAR) model

Description

Recursive bootstrap of a Vector VAR (VAR)

Usage

VAR.boot(VARobject, boot.scheme = c("resample", "wild1", "wild2", "check"),
  seed)

Arguments

VARobject

Object of class VAR generated by function lineVar

boot.scheme

The bootstrap scheme. See details.

seed

Optional. Seed for the random resampling function.

…

Further arguments passed to the underlying (un-exported) VAR.gen function

Value

A matrix with the bootstraped series.

Details

The function bootstraps a given model. This is done on a object generated by lineVar. A simple residual recursive bootstrap is done.

Examples

# NOT RUN {
##Bootstrap a VAR
data(zeroyld)
mod <- lineVar(data=zeroyld,lag=1)
VAR.boot(mod)
# }