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st: Bootstrapping time series


From   <Jose.SEISDEDOS@oecd.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Bootstrapping time series
Date   Fri, 2 Feb 2007 18:01:19 +0100

Hi there,

I recently ask about this and I had a valuable hint. 

Also I have checked statalist archives, but the emails there are far too
advance for me.

I would be grateful if someone could expand a bit further on this (in fairly
non-technical terms please).

I have an ma(1) garch(1,1) (we believe) original process. 

We would like to generate probability distributions from the generated
equation and take random draws on the sample which would respect the original
process. 

I believe using simple bootstrap on a time series cause the time structure of
the original series to be lost. But apparently, there is a way round it
(residuals resampling?)

Thank you very much in advance for any advice.

Regards 

Jose Seisdedos
Pension Analyst
OECD
DELSA 
Annex Monaco R29

Mail correspondance:
2 Rue André-Pascal
75775 Paris Cedex 16
FRANCE


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