[R-SIG-Finance] Wild bootstrap

[Jae Kim]

The wild bootstrap is bootstrapping for heteroskedastic data.

The package vrtest has wild bootstrap implementations of the variance ratio 
tests and you will find some references in the manual.

A well-known reference is

Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at 
last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, 
September

It is not intended for symmetry, but for replicating heteroskdastic 
structure.

It also has wide applications to financial data.

Hope this helps. Jae Kim




--------------------------------------------------
From: "Patrick Burns" <patrick at burns-stat.com>
Sent: Tuesday, March 30, 2010 7:14 PM
To: <r-sig-finance at stat.math.ethz.ch>
Subject: Re: [R-SIG-Finance] Wild bootstrap

> It is good if the original poster explains what
> a term means that they are searching for.  That
> has at least two benefits:
>
> * it avoids misunderstandings if the same or a
> similar term has a different meaning.
>
> * it educates subscribers (like me) who don't
> know the term.
>
> If not the original poster, then it's nice if a
> response contains it.  So here goes:
>
> The wild bootstrap is bootstrapping residuals and
> then randomly multiplying by 1 or -1.  Hence ensuring
> the distribution is symmetric around zero.
>
> I've done it -- I just didn't know it had a name.
>
> The bootstrapping tutorial on www.burns-stat.com
> would tell you how to do it yourself (minus the last
> step of multiplying by -1 or 1).
>
>
> On 29/03/2010 22:08, Brian G. Peterson wrote:
>> On 03/29/2010 04:00 PM, Paulo Grahl wrote:
>>> I am wondering whether it is possible to use 'boot' package (or any
>>> other) in order to use the wild bootstrap method.
>>> Any help, examples, would be appreciated.
>>
>> There are many implementations of the wild bootstap in R.
>>
>> Perhaps you should do a little searching, try a few things, and refine
>> your question with a code example.
>>
>> Regards,
>>
>> - Brian
>>
>
> -- 
> Patrick Burns
> patrick at burns-stat.com
> http://www.burns-stat.com
>
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