Re: [Gretl-users] Bootstrapping VAR residuals

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