New Bootstrap Method for Autoregressive Models

Title & Authors
New Bootstrap Method for Autoregressive Models
Hwang, Eunju; Shin, Dong Wan;

Abstract
A new bootstrap method combined with the stationary bootstrap of Politis and Romano (1994) and the classical residual-based bootstrap is applied to stationary autoregressive (AR) time series models. A stationary bootstrap procedure is implemented for the ordinary least squares estimator (OLSE), along with classical bootstrap residuals for estimated errors, and its large sample validity is proved. A finite sample study numerically compares the proposed bootstrap estimator with the estimator based on the classical residual-based bootstrapping. The study shows that the proposed bootstrapping is more effective in estimating the AR coefficients than the residual-based bootstrapping.
Keywords
Autoregressive model;stationary bootstrap;residual-based bootstrap;asymptotic property;
Language
English
Cited by
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