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| From | "Saunders,Kyle" <Kyle.Saunders@colostate.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: bootstrap vector autoregression (var)? |
| Date | Fri, 27 Jan 2012 15:45:45 +0000 |
Stas et al, Thanks for your reply. I did indeed declare the -tsset- correctly ((tsset year, yearly delta(2)), and got results from the VAR and the Granger causality tests, so that's not the problem--unless you're saying that data need to have a delta of one (though I have 1972-2010, every two years). I've done a pretty extensive literature search, and everything I find seems to have a bootstrap option for SVAR and VECM, but nothing for the straight VAR--and I'm trying to understand a) the difference between these procedures (I don't need the SVAR or the VECM), and b) why there isn't a bootstrap option for a straight up VAR--hence my question about this being a software issue, or if this is something about the VAR itself and how it differs from the others in the multivariate time series arsenal. Also, I looked for user-written block bootstrapping modules, but they don't seem to be out there unless I am just missing them. Thanks! KS -- > Kyle L Saunders > Department of Political Science > Colorado State University > w: http://lamar.colostate.edu/~ksaun