tsDyn (version 0.9-1)

TVAR.boot: Bootstrap a multivariate Threshold Autoregressive (TVAR) model

Description

Recursive bootstrap of a multivariate Threshold VAR (TVAR)

Usage

TVAR.boot(TVARobject, innov, seed, ...)
VAR.boot(VARobject, innov, seed, ...)

Arguments

TVARobject

Object of class TVAR generated by function TVAR

VARobject

Object of class VAR generated by function lineVar

innov

Innovations used for bootstrap. If missing, residuals are resampled.

seed

Optional. Seed for the random resampling function.

...

Further arguments passed to the underlying (un-exported) TVAR.gen function

Value

• A matrix with the bootstraped series.

Details

The function bootstraps a given model. This is done on a object generated by TVECM (or VECM). A simple residual recursive bootstrap is done.

See Also

TVAR to estimate a TVAR, VAR.sim to simulate/bootstrap a VAR, TVECM.sim to simulate/bootstrap a TVECM.

Examples

##Bootstrap a TVAR with two threshold (three regimes)
data(zeroyld)
serie<-zeroyld
mod <- TVAR(data=serie,lag=1, nthresh=1)
TVAR.boot(mod)