Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: Bootstrap with time series models


From   ROBERTO PASCUAL <[email protected]>
To   [email protected]
Subject   RE: st: Bootstrap with time series models
Date   Thu, 04 Oct 2007 10:21:04 +0200

Dear Robert and Austin,
Thanks a lot for your useful comments!
Robert

___________________________________________________________

-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de Austin Nichols
Enviado el: mi�rcoles, 03 de octubre de 2007 23:14
Para: [email protected]
Asunto: Re: st: Bootstrap with time series models

ROBERTO PASCUAL <[email protected]>:
Bob Yaffee refers to
http://www.stata.com/statalist/archive/2007-08/msg01207.html
which code would take quite a lot of adapting for your use.

I haven't read:
Politis, D.N., Romano, J.P. and Wolf, M. (1999). Subsampling, Springer, NY.
Lahiri, S.N. (2003). Resampling Methods for Dependent data, Springer, NY.
Politis, D.N. and Romano, J.P. (1994). The Stationary Bootstrap. JASA,
89:1303-1313.
but:
I suspect both subsampling and the block bootstrap are easy to
program: for the block bootstrap you just select _N/L observations
(from the first _N-L+1 obs) and the L-1 obs that follow them in each
iteration, then stitch them together, right (where the block length L
for each iteration is random and generated from a geometric
distribution)?  Perhaps an enhancement of the -gsample- program could
do it?  That would be up to its author, Ben Jann, of course...

The non-overlapping block bootstrap is already possible with the
cluster option.  Just define the cluster variable as blocks of time...

On 10/3/07, Robert A Yaffee <[email protected]> wrote:
> Time series models require a block or wild bootstrap.
> Stata does not have either of these yet, though I think that Austin
Nichols indicated that
> there is a wild bootstrap in workshop somewhere.  I think he said that it
needs documentation.
>
> ----- Original Message -----
> From: ROBERTO PASCUAL <[email protected]>
> >
> > Is there any way to use the Stata bootstrapping facility with time
series
> > estimation functions, such as var or arima?
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index