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Re: st: bootstrap a test linear hypotheses


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: bootstrap a test linear hypotheses
Date   Wed, 5 Jun 2013 00:32:29 +0100

The problem is in the idea. How do you bootstrap a time series? Once
you have sampled a set of observations with replacement, how do you
then define the time order for such a sample, with typically some
observations repeated and some missing? There are ideas in the
literature on how to do it, but -bootstrap- does not implement them.
Nick
njcoxstata@gmail.com


On 5 June 2013 00:23, Thierry Hounsa <hounsathierry@yahoo.fr> wrote:
> Hi all.. How to bootstrap a test linear hypothese after the estimation of a Vectorial Autoregressive Model?
> Indeed, I perform these commands:
>
> *** estimate a VAR of 2 lags on the variables Y1 and Y2***
> var Y1 Y2
> *** Perform a test on the coefficients of Y1***
> test ([Y1]: L.Y2 L2.Y2)
> *** bootstrap the previous test***
> bootstrap, reps(50) : test ([Y1]: L.Y2 L2.Y2)
> But I get the following error message: "time-series operators are not allowed with bootstrap without panels, see tsset, r(198)"
> What's wrong with my commands? What should I do?
> Thanks in advance
>
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