Re: [Gretl-users] Problem with bootstrap result
On Thu, 23 Feb 2012, alexkakashi(a)libero.it wrote:
I know that the single equation can be estimated by OLS. In
my application I have no stationary time series and I work
using variables in levels. I'd like use bootstrap method
based on residuals [...]
On a point of etiquette, please do not dump 1700 lines of
gretl-users digest onto the end of mail to the list.
But as for the bootstrap test of a restriction on a VAR, this
is quite an interesting question. At present you can't use
gretl's "restrict" command on VARs, but you can use "restrict"
if you formulate the model as an SUR system. Simulating a VAR
"by hand" can be quite tricky, but gretl offers the varsimul()
function to help you get it right; this can be applied using
the results from SUR estimation.
I'm attaching an example script which bootstraps a Granger
non-causality test (using a data file from the gretl package).
If Jack Lucchetti is interested I bet he can come up with a
more elegant version, but this one seems to do the job. On
this example, at least, the bootstrapped p-value is similar to
that obtained from a standard Wald test.
Allin Cottrell
Attachments:
- granger-boot-sur.inp (text/plain — 1.4 KB)