I need to do a block-of-blocks bootstrap: pairs bootstrap for dynamic models.
Basically, if one considers the pair Z_t ≡ [y_t, X_t], I need a random resampling of n-b+1 blocks (Z_1...Z_b), (Z_2...Z_b+1), ......, (Z_n−b+1...Zn) with b >= 2. In Gretl, as far as I know there's an option "resample" in the dataset command for pairs bootstrap and the option "block" in the command resample useful for block RESIDUAL bootstrap. Is there a simple way to do block PAIRS bootstrap? Thanks Giuseppe Vittucci
