Sieve bootstrapping

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econonick
Posts: 3
Joined: Mon Jan 09, 2017 12:19 am

Sieve bootstrapping

Unread post by econonick »

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
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