Block boostrap

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paolo.zanghieri
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Joined: Wed Mar 05, 2014 10:52 am

Block boostrap

Postby paolo.zanghieri » Thu Aug 22, 2024 2:16 am

Hi,
I am estimating some time series model to derive the fair value of some assets. In order to get a confidence interval I'd like to run a block bootstrap. This involves estimating different regressions excluding each time a fixed lenght overlapping rolling window of consecutive observations over the entire sample. Is there any way to use the smpl command to do that?
thanks a lot

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