bootstrapping AR model
Posted: Wed Jun 03, 2015 4:17 am
hi
i have estimated an AR(3) model to compute the measure of inflation persistence. Hansen, B., (1999), ‘The Grid Bootstrap and the Autoregressive Model’, Review of Economic and Statistics, 81, pp.594-607, shows that if the estimated coefficients are close to one (i.e., follow a unit root process) the point estimates can be biased downwards for which he provides a bootstrap procedure to calculate the estimates of persistence as well as their confidence interval. I am trying to find codes to bootstrap AR(3) models. can you please help me.
Thanks
Deepika
i have estimated an AR(3) model to compute the measure of inflation persistence. Hansen, B., (1999), ‘The Grid Bootstrap and the Autoregressive Model’, Review of Economic and Statistics, 81, pp.594-607, shows that if the estimated coefficients are close to one (i.e., follow a unit root process) the point estimates can be biased downwards for which he provides a bootstrap procedure to calculate the estimates of persistence as well as their confidence interval. I am trying to find codes to bootstrap AR(3) models. can you please help me.
Thanks
Deepika