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)
+ }
>
> system.time(SpecPress.boot <- tsboot(BootData, boot.specpress,
R=1000, maxit=100))
user system elapsed
46.007 1.544 65.439
>
> SpecPress.boot
MODEL BASED BOOTSTRAP FOR TIME SERIES
Call:
tsboot(tseries = BootData, statistic = boot.specpress, R = 1000,
maxit = 100)
Bootstrap Statistics :
original bias std. error
t1* 0.04287253 0 0
t2* 0.05566368 0 0
t3* -0.02394464 0 0
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