tsDyn
tsDyn copied to clipboard
Incorrect Wild bootstrap overall
Wild bootstrap should have $\hat\epsilon_t\nu_t$ where $\hat\epsilon$ is the residuals and $\nu_t$ is randomly simulated from the chosen distribution. Right now the implementation in the package all uses $\hat\epsilon_t + \nu_t$. For example,
https://github.com/MatthieuStigler/tsDyn/blob/15c8679f37a7c65ce728fac59b4444b0399dca0e/tsDyn/R/VAR.sim.R#L190-L194