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Re: st: re: generating variable with a random component


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: generating variable with a random component
Date   Wed, 28 Nov 2012 18:46:32 +0000

. help random_number_functions

Nick

On Wed, Nov 28, 2012 at 6:39 PM, Jeremy Kronick
<jeremykronick@hotmail.com> wrote:
,
> 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).
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