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bootstraping time series???
Posted: Mon Apr 15, 2013 1:58 am
by Nej.leco
hi,
Is there a command for bootstrapping time series on eviews 7.2 ??
Thanks for your help :)
Nej
Re: bootstraping time series???
Posted: Mon Apr 15, 2013 8:03 am
by EViews Gareth
Could you be a bit more specific? Both series and groups have a resample command.
Re: bootstraping time series???
Posted: Wed Apr 17, 2013 3:40 am
by Nej.leco
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.
Re: bootstraping time series???
Posted: Wed Apr 17, 2013 6:01 am
by EViews Gareth
The resample command does not let you randomly vary block length.