Splus Code for Confidence band for Crosscorrelation Estimates

  • cfdirect.q The direct method, as presented by Brillinger 1985.
  • FDJ2.q Frequency domain jackknife, has good small sample properties.
  • FDresample.q Frequency domain bootstrap method.
  • statboot.q The Stationary bootstrap as presented by Politis and Romano 1991.
  • SIEVE.q The SIEVE bootstrap as presented by Buhlmann. A non-parametric model in the sense that a modelselection criterion is used to pick the order of the AR-model used.

    • To use these programs, source into Splus and then call the functions for example like this: cfband(x,y,lagmax=20) .

    The program will automatically plot the crosscorrelations with confidence bands using the method of choice and the standard white noise confidence bands. It works best if some prewhitening is used as well. Email me if you have any questions.

    For an overview and lots of references for bootstrapping times series check this paper by Berkowitz and Kilian; Recent Developments in bootstrapping Time Series

    To use these programs, source into Splus and then call the functions for example like this: cfband(x,y,lagmax=20) .

    The program will automatically plot the crosscorrelations with confidence bands using the method of choice and the standard white noise confidence bands. It works best if some prewhitening is used as well. Email me if you have any questions.

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