Re: [Gretl-users] Bootstrapping VAR residuals

Ok!! thank you so much!!! Now I have a problem with the last line... tcount += (Dsim > D) error: unknown variable name in command.. 2013/6/17 Artur Tarassow <artur.tarassow(a)googlemail.com&gt; > It should be simply > set horizon 60 > > > 2013/6/17 Gabriela Nodari <gabriela.nodari(a)gmail.com&gt; > >> 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 >> > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users >