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st: Re: st: Réf.: Re: st: bootstrap a test linear hypotheses


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Re: st: Réf.: Re: st: bootstrap a test linear hypotheses
Date   Wed, 5 Jun 2013 01:53:49 +0100

Try Googling e.g.
http://sfb649.wiwi.hu-berlin.de/fedc_homepage/xplore/ebooks/html/csa/node132.html
Nick
njcoxstata@gmail.com


On 5 June 2013 01:42, Thierry Hounsa <hounsathierry@yahoo.fr> wrote:
> Thanks for your reply. What are the ideas in the litterature on how to do it?
>
>
>
> ------------------------------
> Le mar. 4 juin 2013 16:32 HAP, Nick Cox a écrit :
>
>>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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