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st: re: generating variable with a random component


From   Jeremy Kronick <jeremykronick@hotmail.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: re: generating variable with a random component
Date   Wed, 28 Nov 2012 13:39:02 -0500

Hi,
I have a run a VAR analysis with 5 variables and have obtained both the fitted values and the residuals from each equation:
var U Y P i credit, lags(1/2) exog(L.LTV_1 L.LTV_2 L.LTV_3 L.LTV_4 timevar)
At this point I'd like to generate a set of bootstrapped variables for each of my variables that has the following format:
Y(tilda) = Y(hat) + resid(hat).  However, I want the resid(hat) to be drawn at random.  Is there a way to do this in Stata?  
Something like "gen y_tilda = y_hat + rand(resid_hat)".  I realize the "rand" part is incorrect (this is where I really need the help).
Any advice would be greatly appreciated.
Thanks,
Jeremy Kronick
Brandeis University PhD Student   		 	   		  
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