bootstrapping AR model

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Deepika
Posts: 43
Joined: Fri Apr 17, 2015 12:55 am

bootstrapping AR model

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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
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