Aboput the focus on the bootstrap and VECMs [Was: Re: [Gretl-users] some small bugs)]

Thu Apr 5 06:38:03 EDT 2007

On Thu, April 5, 2007 11:46, Andreas Karlsson wrote:
> [snip]
>
>> I agree that the session concept is not fully exploited at present,
and that is something we will come back to and re-examine.  Thanks for
the suggestions.  Right now we're focused on particular
>> econometric functionality (the bootstrap and VECMs) but the UI does
need reconsideration.
>
> Regarding bootstrap, I would like to suggest looking in Chapter 11 of
Cameron,
> A. Colin & Trivedi, Pravin K. (2005), Microeconometrics: Methods and
Applications. Cambridge: Cambridge University Press. ISBN:
0-521-84805-9.
>
> This book gives a very good and detailed description of using bootstrap in
> econometrics, including cases with heteroscedastic errors, panel data,
or
> GMM.

I agree that C&T is an excellent book. However, the time series domain is
where the bootstrap can get really tricky, and unfortuntely C&T focus on
micro methods. A useful reference for time-series bootstrap is:

http://www.ssc.wisc.edu/~bhansen/718/HardleHorowitzKreiss.pdf

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona