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st: bootstrap vector autoregression (var)?


From   "Saunders,Kyle" <Kyle.Saunders@colostate.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: bootstrap vector autoregression (var)?
Date   Thu, 26 Jan 2012 15:46:37 +0000

Greetings statalisters:

I have a small time series dataset, 1972-2010, two year delta (tsset year, yearly delta(2)), so 20 strobes.

I have run a vector autoregression (var) successfully, everything turns out just fine.  The Grangers come out as expected, etc.

I would like to bootstrap the standard errors, however when I run the command, I get the following error message:

bootstrap: var lcdiff avgdiff, lags(1/2)

(running var on estimation sample)

Bootstrap replications (50)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx    50
insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);

This occurs no matter how I specify the reps(#) option.

Is this something I am missing inherent to the VAR, or is this a software limitation?  Any ideas on how to address it?

Thanks for your time in advance,
Kyle Saunders
--
Kyle L Saunders
Department of Political Science
Colorado State University
w: http://lamar.colostate.edu/~ksaun

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