Bruce E. Hansen
"The grid bootstrap and the autoregressive model"
Review of Economics and Statistics (1999)
Program and Data Files
This program replicates the empirical work reported in the above paper.
It estimates a general autoregression by OLS, and computes the grid bootstrap confidence intervals for the autoregressive parameters.
Gauss Programs and Data
Matlab Programs and Data
R Programs and Data
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.