## Small sample bias in VARs

Questions and discussions on Vector Autoregressions

### Small sample bias in VARs

Dear Tom,

Following the post on “Bootstrapping VAR residuals” (viewtopic.php?f=4&t=669) I am trying to compute the small sample bias for my VAR coefficients. I am taking the RATS example from Lutkepohl's New Introduction to Multiple Time Series Analysis.

Last time you suggested me to compute the matrix total as the bootstrapped estimate of the bias. Unfortunately, the results change evrytime I run the code (which is not what I really want)

I have also tried to play around with the code below but nothing happened. Do you have some suggestion?

Code: Select all
`open data e1.datcalendar(q) 1960data(format=prn,org=columns,skips=6) 1960:01 1982:04 invest income cons*set dinc  = log(income/income{1})set dcons = log(cons/cons{1})set dinv  = log(invest/invest{1})*system(model=varmodel)variables dinv dinc dconslags 1 2det constantend(system)estimate(sigma,resids=resids) * 1978:4compute base=%modelgetcoeffs(varmodel)compute total=%zeros(%rows(base),%cols(base))*@VARBootSetup(model=varmodel) bootvar*compute rstart=%regstart()compute rend  =%regend()*compute bootdraws=2000compute nvar  =3compute nsteps=8*infobox(action=define,progress,lower=1,upper=bootdraws) \$   "Bootstrap Simulations"do draw=1,bootdraws   @VARBootDraw(model=varmodel,resids=resids) rstart rend   *   * Estimate the model with resampled data   *   estimate(noprint,noftests)   compute total=total+(%modelgetcoeffs(bootvar)-base)   infobox(current=draw)end do drawinfobox(action=remove)*compute total=total/bootdraws`
[/quote]

Many thanks

C.
comac

Posts: 26
Joined: Mon Jun 29, 2009 7:31 am

### Re: Small sample bias in VARs

I'm a bit confused about your question. Are you concerned that you get a different bootstrap estimate each time you run a bootstrap? If you think the variability is too high, run more draws. If you want to control the draws, use the SEED instruction.
TomDoan

Posts: 2727
Joined: Wed Nov 01, 2006 5:36 pm

### Re: Small sample bias in VARs

Tom -- sorry if I was unclear. Anyway, I wanted exactly to set the seeds for the random number generator. Thanks a lot.
comac

Posts: 26
Joined: Mon Jun 29, 2009 7:31 am