A Note on Bootstrapping M-estimators in TAR Models

  • Kim, Sahmyeong (Department of Applied Statistics, Chung-Ang University)
  • Published : 2000.12.01

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.

References

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