Re: st: bootstrap vector autoregression (var)?

["Saunders,Kyle" <Kyle.Saunders@colostate.edu>]

Stas et al,

Thanks for your reply.  I did indeed declare the -tsset- correctly ((tsset year, yearly delta(2)), and got results from the VAR and the Granger causality tests, so that's not the problem--unless you're saying that data need to have a delta of one (though I have 1972-2010, every two years).

I've done a pretty extensive literature search, and everything I find seems to have a bootstrap option for SVAR and VECM, but nothing for the straight VAR--and I'm trying to understand a) the difference between these procedures (I don't need the SVAR or the VECM), and b) why there isn't a bootstrap option for a straight up VAR--hence my question about this being a software issue, or if this is something about the VAR itself and how it differs from the others in the multivariate time series arsenal.

Also, I looked for user-written block bootstrapping modules, but they don't seem to be out there unless I am just missing them.

Thanks!
KS

--
> Kyle L Saunders
> Department of Political Science
> Colorado State University
> w: http://lamar.colostate.edu/~ksaun