不调包的Bootstrap代码实现【金融计量】（Matlab代码）

SIMULATION: BOOTSTRAP t TEST

(1)使用 matlab 编写程序

t分布计算函数：

function t=t_func(y,x)
n=length(x);
b=pinv(x'*x)*x'*y;
beta2=0.9;
e=y-x*b;
se=(e'*e)*pinv(x'*x)./(n-2);
se=se(2,2)^(1/2);
t=(b(2,2)-beta2)./se;
end

T分布检验主函数：

p为最终回报的p值序列

sample_size=[10,14,20,28,40,56,80,113,160,226,320,452,640,905,1280];
p=zeros(15,1);
for i=1:15
    len=sample_size(i);
    
%     sample的大小
    y=zeros(10000,1);
    for t=(1:10000)
        x = zeros(len+100,2);
        x(:,1)=1;
%         定义向量x的行数
        for n=(2:len+100)
            x(n,2)=0.9.*x(n-1,2)+1+randn(1,1);
%             x的值
        end
        y(t,1)=t_func(x(100:len+100,:),x(99:len+99,:));
    end
   p(i,1)=sum(abs(y)>1.96)/10000; 
end

(2)bootstrap

函数主体：

p_las为最终回报的p值序列

sample_size=[10,14,20,28,40,56,80,113,160,226,320,452,640,905,1280];
p_las=zeros(15,1);
for i=1:15
    len=sample_size(i);
%     sample的大小
    p=zeros(10000,1);
    for t=(1:100)
        x = zeros(len+100,2);
        
        x(:,1)=1;
%         定义向量x的行数
        for n=(2:len+100)
            x(n,2)=0.9.*x(n-1,1)+1+randn(1,1);
%             数列的值
        end
        OLS=OLS_func(x(100:len+100,:),x(99:len+99,:));
        e_res=e_rescale(x(100:len+100,:),x(99:len+99,:));
        
%         重整残差
        boot_p=zeros(399,1);
        for boot=(1:399)
            c=randperm(numel(e_res));
            boot_u=e_res(c(1:len));
%         抽残差
            boot_y=zeros(len+1,2);
            boot_y(:,1)=1;
            for b=(2:len+1)
                boot_y(b,2)=0.9.*boot_y(b-1,2)+1+boot_u(b-1);
            end
%         bootstrap样本
            boot_p(boot,1)=t_func(boot_y(2:len+1,:),boot_y(1:len,:));
        end
        p(t,1)=sum(abs(boot_p)>1.96)/399;
    end
    p_las(i,1)=sum(p)/10000;
    
end

其中，残差重整的函数如下

function e_res=e_rescale(y,x)
n=length(x);
b=pinv(x'*x)*x'*y;
%b=Sxy/Sxx;
e=y-x*b;
e_res=(n/(n-2))^(1/2).*e;
e_res=e_res(:,2);

(3)wild bootstrap

函数主体与（2）一致

sample_size=[10,14,20,28,40,56,80,113,160,226,320,452,640,905,1280];
p_las=zeros(15,1);
for i=1:15
    len=sample_size(i);
%     sample的大小
    p=zeros(10000,1);
    for t=(1:10000)
        x = zeros(len+100,2);
        
        x(:,1)=1;
%         定义向量x的行数
        for n=(2:len+100)
            x(n,2)=0.9.*x(n-1,1)+1+randn(1,1);
%             数列的值
        end
        OLS=OLS_func(x(100:len+100,:),x(99:len+99,:));
        e_res=e_rescale3(x(100:len+100,:),x(99:len+99,:));
        
%         重整残差
        boot_p=zeros(399,1);
        for boot=(1:399)
            c=randperm(numel(e_res));
            boot_u=e_res(c(1:len));
%         抽残差
            boot_y=zeros(len+1,2);
            boot_y(:,1)=1;
            for b=(2:len+1)
                boot_y(b,2)=0.9.*boot_y(b-1,2)+1+boot_u(b-1);
            end
%         bootstrap样本
            boot_p(boot,1)=t_func(boot_y(2:len+1,:),boot_y(1:len,:));
        end
        p(t,1)=sum(abs(boot_p)>1.96)/399;
    end
    p_las(i,1)=sum(p)/10000;
    
end

重整残差的方法与（2）不同，函数如下，V函数由（0,1）均匀分布随机数转变成。

function e_res=e_rescale3(y,x)
n=length(x);
b=pinv(x'*x)*x'*y;
%b=Sxy/Sxx;
e=y-x*b;
v=rand(1,n);
for i=1:n
    if v(i)>(sqrt(5)+1)/(2*sqrt(5))
        v(i)=-(sqrt(5)-1)/2;
    else
        v(i)=(sqrt(5)+1)/2;
    end
end
e_res=v'.*e;
e_res=e_res(:,2);