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  • I want to run a VAR with bootstrap standard errors

    I want to run a VAR(1) with both OLS standard errors and bootstrap standard errors which are computed from 2500 simulated realizations if that applicable
    I used that: it did not work
    **Code**
    capture program myboot2
    program define myboot2, rclass
    preserve
    bsample
    var R_Me TY PE VS, lags(1)
    estat vif
    return scalar vif_3 = r(vif_3)
    return scalar vif_2 = r(vif_2)
    return scalar vif_1 = r(vif_1)
    restore
    end
    simulate vif_3=r(vif_3) vif_2=r(vif_2) vif_1=r(vif_1),reps(2500) seed(12345): myboot2
    bstat, stat(vif) n(876)
    estat bootstrap, all
    Last edited by Sarah Hussein; 26 Feb 2020, 19:52.
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