Re: [Gretl-users] Bootstrapping VAR residuals

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