Re: [Gretl-users] Bootstrapping VAR residuals

D=max(abs(IP)) tcount=0 y = 8 13 12 1 2 3 y1 = 8 13 12 1 2 x = 21 22 23 24 25 26 *#exogenous lagged variables* #MODEL 1 var 6 y --silent matrix Ac = $compan[1:6,] matrix U = $uhat. +$coeff[1,] #Initial values matrix y0 = {var1, var2, var3, var4, var5, var6}[1:6,] #MODEL 2 var 6 y1; x --silent matrix Ac1 = $compan[1:5,] matrix U1 = $uhat.+coeff[1,] + $coeff[7,] .* {x}[7:] + $coeff[8,] .*

On Mon, Jun 17, 2013 at 7:30 AM, Gabriela Nodari <gabriela.nodari(a)gmail.com&gt; wrote: > Yes, the code works! but I'm not sure the result is correct. [...] > here is the complete code: > > D=max(abs(IP)) > tcount=0 > y = 8 13 12 1 2 3 > y1 = 8 13 12 1 2 > x = 3 > > #MODEL 1 > var 6 y --silent > matrix Ac = $compan[1:6,] > matrix U = $uhat. +$coeff[1,] > #Initial values > matrix y0 = {var1, var2, var3, var4, var5, var6}[1:6,] > > #MODEL 2 > var 6 y1; x --silent > matrix Ac1 = $compan[1:5,] > matrix U1 = $uhat.+coeff[1,] You need to include the effect of var6 in your MODEL 2 simulation. After $coeff[1,] (the intercept) you should add $coeff[7,] .* {x}[7:] -- Allin Cottrell Department of Economics Wake Forest University _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users