Sieve bootstrapping
Posted: Sat Aug 01, 2020 12:39 pm
Dear, Tom
I would like to calculate confidence interval/p-value on my AR/VAR model using "Sieve bootstrap", in the paper "Sieve bootstrap for time series". by Buhlmann, Bernoulli, 1997.
I am wondering whether there is already some sample code available for AR (p) model?
Thank you for your help.
Best regards,
Nick
I would like to calculate confidence interval/p-value on my AR/VAR model using "Sieve bootstrap", in the paper "Sieve bootstrap for time series". by Buhlmann, Bernoulli, 1997.
I am wondering whether there is already some sample code available for AR (p) model?
Thank you for your help.
Best regards,
Nick