MatthieuStigler / tsDyn

tsDyn
tsdyn.googlecode.com
GNU General Public License v2.0
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Incorrect Wild bootstrap overall #53

Open FinYang opened 1 year ago

FinYang commented 1 year ago

Wild bootstrap should have $\hat\epsilon_t\nu_t$ where $\hat\epsilon$ is the residuals and $\nu_t$ is randomly simulated from the chosen distribution. Right now the implementation in the package all uses $\hat\epsilon_t + \nu_t$. For example,

https://github.com/MatthieuStigler/tsDyn/blob/15c8679f37a7c65ce728fac59b4444b0399dca0e/tsDyn/R/VAR.sim.R#L190-L194

MatthieuStigler commented 1 year ago

thanks, I think you spotted a mistake indeed. It has been a while so I can't remember if I had followed a paper suggesting this, or whether that was a blunt mistake of mine, but looking at a few papers right now, it seems indeed multiplying as you suggest is the right approach.

Thanks again!