Bootstrap function

Generates the bootstrap-related outputs

Bootstrap(
  ModelType,
  ModelParaPE,
  NumOutPE,
  Economies,
  InputsForOutputs,
  FactorLabels,
  JLLlist = NULL,
  GVARlist = NULL,
  WishBC = 0,
  BRWlist = NULL
)

Arguments

• ModelType: A character vector indicating the model type to be estimated.
• ModelParaPE: A list containing the point estimates of the model parameters. For details, refer to the outputs from the Optimization function.
• NumOutPE: The point estimate derived from numerical outputs. See the outputs from the NumOutputs function for further information.
• Economies: A character vector containing the names of the economies included in the system.
• InputsForOutputs: A list containing the necessary inputs for generating IRFs, GIRFs, FEVDs, GFEVDs and Term Premia.
• FactorLabels: A list of character vectors with labels for all variables in the model.
• JLLlist: List. Inputs for JLL model estimation (see JLL function). Default is NULL.
• GVARlist: List. Inputs for GVAR model estimation (see GVAR function). Default is NULL.
• WishBC: Whether to estimate the physical parameter model with bias correction, based on the method by Bauer, Rudebusch and Wu (2012) (see Bias_Correc_VAR function). Default is set to 0.
• BRWlist: List of necessary inputs for performing the bias-corrected estimation (see Bias_Correc_VAR function).

Returns

List containing the following elements:

• List of model parameters for each draw
• List of numerical outputs (IRFs, GIRFs, FEVDs, GFEVDs and Term Premia) for each draw
• Confidence bounds for the chosen level of significance

Examples

# See an example of implementation in the vignette file of this package (Section 4).

References

This function is a modified and extended version of the VARirbound function from "A toolbox for VAR analysis" by Ambrogio Cesa-Bianchi (https://github.com/ambropo/VAR-Toolbox)