[R-SIG-Finance] Wild bootstrap

[Matthieu Stigler]

Actually the wild bootstrap just samples the residuals, following 
different schemes:
- 1 and -1 ("rademacher" bootstrap)
-normal distribution
-other schemes... see 
http://www.econ.queensu.ca/working_papers/papers/qed_wp_1028.pdf

I have implemented such a bootstrap for VAR models (allowing to include 
HC estimators from pkg sandwich), see:
library(vars)
?causality

Note that as only the residuals are bootstraped, and not the regressors, 
a lot of computation can be saved as you don't need to compute every 
time the (X'X)-1 matrix. Because you want to do it many times, it can be 
useful not to reuse lm() at each step

I explored:
update(lm)
and finally used something like:
Ynew<-pred+res*rnorm(n=obs, mean=0, sd=x)
PI.boot<-solve(cross, crossprod(Zmlm,Ynew))

But this sure could be more efficient...

Matthieu



Patrick Burns a écrit :
> 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
>>
>