bootstraping time series???

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Nej.leco
Posts: 2
Joined: Mon Apr 15, 2013 1:52 am

bootstraping time series???

Postby Nej.leco » Mon Apr 15, 2013 1:58 am

hi,
Is there a command for bootstrapping time series on eviews 7.2 ??
Thanks for your help :)
Nej

EViews Gareth
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Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: bootstraping time series???

Postby EViews Gareth » Mon Apr 15, 2013 8:03 am

Could you be a bit more specific? Both series and groups have a resample command.

Nej.leco
Posts: 2
Joined: Mon Apr 15, 2013 1:52 am

Re: bootstraping time series???

Postby Nej.leco » Wed Apr 17, 2013 3:40 am

hello,
I mean moving block bootstrap introduced by Künsch (1986).
This bootstrap works with dependent data, however, the bootstrapped observations will not be stationary anymore by construction. But, it was shown that varying randomly the block length can avoid this problem.

Thanks for your help.

EViews Gareth
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Re: bootstraping time series???

Postby EViews Gareth » Wed Apr 17, 2013 6:01 am

The resample command does not let you randomly vary block length.


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