A Note on Bootstrapping M-estimators in TAR Models

Abstract

Kreiss and Franke(192) and Allen and Datta(1999) proposed bootstrapping the M-estimators in ARMA models. In this paper, we introduce the robust estimating function and investigate the bootstrap approximations of the M-estimators which are solutions of the estimating equations in TAR models. A number of simulation results are presented to estimate the sampling distribution of the M-estimators, and asymptotic validity of the bootstrap for the M-estimators is established.

Keywords

• TAR models;
• Bootstrap;
• Estimating Function;
• M-estimators;
• Asymptotic validity

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References

1. Journal of Time Series Analysis v.20 A note on bootstrapping M-estimators in ARMA models Allen, M.;Datta, S.
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