Block boostrap
Posted: 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
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