Re: [Gretl-users] Bootstrapping VAR residuals

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