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@gmail.com>

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@gmail.com>

Thank you very much! I will give a look to the varsimul function!!

On 14/06/2013 8:40 PM, "Allin Cottrell" <cottrell@wfu.edu> 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


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