Re: [Gretl-users] Bootstrapping VAR residuals

right!! thanks.. Now the problem is with set horizon = 60 error message: syntax error in command line... 2013/6/17 Artur Tarassow <artur.tarassow(a)googlemail.com&gt; > You should delete the space in "var p y -- silent". So it should be "var > p y --silent" instead. > > Artur > > > 2013/6/17 Gabriela Nodari <gabriela.nodari(a)gmail.com&gt; > >> Dear all, >> >> I have run the varsimul() function and it works well! >> >> Now I am having some problems to estimate the var with simulated data.. >> >> The code I am running is the following: >> >> scalar p = 6 >> list y = 8 13 12 1 2 3 >> >> var p y -- silent >> matrix Ac = $compan[1:6,] >> matrix U = $uhat.+$coeff[1,] >> matrix y0 = {var1, var2, var3, var4, var5, var6}[1:6,] >> >> list y1 = 8 13 12 1 2 >> list x = 3 >> >> var p y1; x >> matrix Ac1 = $compan[1:5,] >> matrix U1 = $uhat.+$coeff[1,] >> matrix y01 = {var1, var2, var3, var4, var5}[1:6,] >> >> loop (n. of replics) >> matrix Usim = resample(U) >> matrix Ysim = varsimul(Ac, Usim, y0) >> matrix Usim1 = resample(U1) >> matrix Ysim1 = vasimul(Ac1,Usim1,y01) >> >> series frs = Ysim[,1] >> series ips= Ysim[,2] >> ... >> series baas=Ysim[,6] >> >> var p frs ips ... baas >> .... >> >> Here I get error: invalid option '--' var p frs... >> >> I guess it is because I cannot enter these series in the var command.. >> >> >> Could someone help me? How can I estimate the var with the simulated >> data? >> >> Thanks in advance.. >> Gabriela >> >> >> >> 2013/6/14 Gabriela Nodari <gabriela.nodari(a)gmail.com&gt; >> >>> Thank you very much! I will give a look to the varsimul function!! >>> On 14/06/2013 8:40 PM, "Allin Cottrell" <cottrell(a)wfu.edu&gt; wrote: >>> >>>> On Fri, 14 Jun 2013, Gabriela Nodari wrote: >>>> >>>> > I would like to obtain simulated data by bootstrapping the residuals >>>> of a >>>> > VAR model. I have gave a look to the gretl guide, and I found >>>> something >>>> > related to resampling and bootstrapping (section 7.4) [...] >>>> >>>> Check out the varsimul() function. Here's a simple example of >>>> use: >>>> >>>> <hansl> >>>> open data9-7 >>>> var 4 PRIME UNEMP --silent >>>> matrix A = $compan[1:2,] >>>> # residuals + const >>>> matrix U = $uhat .+ $coeff[1,] >>>> # initial values >>>> matrix y0 = {PRIME, UNEMP}[1:4,] >>>> # simulate the VAR >>>> matrix X = varsimul(A, U, y0) >>>> # check that we got back the original data >>>> # (to within machine precision) >>>> eval X - {PRIME, UNEMP} >>>> # now resample U >>>> matrix Us = resample(U) >>>> matrix Xs = varsimul(A, Us, y0) >>>> # look at the simulated data >>>> print Xs >>>> </hansl> >>>> >>>> Use "set seed" if you want to be able to replicate the >>>> resampling. Put the last few lines in a loop for multiple >>>> simulations. >>>> >>>> Allin Cottrell >>>> >>>> >>>> _______________________________________________ >>>> Gretl-users mailing list >>>> Gretl-users(a)lists.wfu.edu >>>> http://lists.wfu.edu/mailman/listinfo/gretl-users >>>> >>> >> >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu >> http://lists.wfu.edu/mailman/listinfo/gretl-users >> > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users