bootstrapping a model

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lukeroom
Posts: 13
Joined: Tue Sep 13, 2022 12:50 am

bootstrapping a model

Postby lukeroom » Wed Oct 02, 2024 8:39 am

Hello, I have specified a model, out of a system of equations.
My aim is to do a stochastic simulation. Instead of doing a Monte Carlo under normality of the residuals, I want to do a bootstrap (I know that Eviews can do that, it is written with few words in the help of the command "stochastic") from the estimated residuals. I wasn't able to find any explanation on how to do that. I saved the estimated residuals, I bootstrapped them, but I don't know how to tell to the model to use the bootstrapped residuals in its simulations.

Any help?
Thank you for your time

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

Re: bootstrapping a model

Postby EViews Gareth » Wed Oct 02, 2024 9:41 am

You can not use your own bootstrapped residuals. You can only instruct the model object to perform its own bootstrapping.
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lukeroom
Posts: 13
Joined: Tue Sep 13, 2022 12:50 am

Re: bootstrapping a model

Postby lukeroom » Thu Oct 17, 2024 8:51 am

Thanks Gareth!
One more thing. The estimated model has some estimated residuals from which, as you showed me, eviews will bootstrap.
Can I modify these residuals somehow and then use the "stochastic options" command to bootstrap the modified version?

Thank you for your help.

EViews Matt
EViews Developer
Posts: 570
Joined: Thu Apr 25, 2013 7:48 pm

Re: bootstrapping a model

Postby EViews Matt » Thu Oct 17, 2024 5:12 pm

Hello,

No, at least not easily, as the model always internally generates the residuals for bootstrapping and there is no facility to provide your own series/group of custom residuals. Technically, you could alter the actual series so that the internally generated residuals would match your desired residuals, but that's a bit cumbersome and not really the way model bootstrapping was intended to be used.


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