Displaying 1 result from an estimated 1 matches for "specpress".
2007 Nov 22
0
Problem with tsboot
I'm trying to bootstrap some regression coefficients so that I can
estimate confidence intervals, but boot is not producing results. Can
anybody suggest what I'm doing wrong here?
> SpecPress <- ts(rnorm(501))
> Returns <- ts(rnorm(501))
> BootData <- data.frame(cbind(SpecPress, Returns))
> boot.specpress <- function(data, indices, maxit=20){
+ data <- data[indices,]
+ mod <- dyn$lm(SpecPress~lag(Returns,-1)+lag(SpecPress,-1))
+ coefficients(mod)
+ }
&g...