[R-SIG-Finance] Wild bootstrap

[Paulo Grahl]

Thank you all for the help.  And sorry for not being precise on the
question, but you got it right:
my question was regarding the wild bootstrap for bootstrapping
heteroskedastic data, using Rademacher random variables. Even though
it is simple to implement it, I was wondering whether or not that
could be done
in a straightforward way using the 'boot' package.
Thanks
Paulo

On Tue, Mar 30, 2010 at 5:39 AM, Matthieu Stigler
<matthieu.stigler at gmail.com> wrote:
>
> 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
>>>
>>
>
>



-- 
Paulo Gustavo Grahl, CFA
------------------------------------------
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