Bootstrap in nonstationary autoregression

Zuzana Prášková

Kybernetika (2002)

  • Volume: 38, Issue: 4, page [389]-404
  • ISSN: 0023-5954

Abstract

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The first-order autoregression model with heteroskedastic innovations is considered and it is shown that the classical bootstrap procedure based on estimated residuals fails for the least-squares estimator of the autoregression coefficient. A different procedure called wild bootstrap, respectively its modification is considered and its consistency in the strong sense is established under very mild moment conditions.

How to cite

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Prášková, Zuzana. "Bootstrap in nonstationary autoregression." Kybernetika 38.4 (2002): [389]-404. <http://eudml.org/doc/33591>.

@article{Prášková2002,
abstract = {The first-order autoregression model with heteroskedastic innovations is considered and it is shown that the classical bootstrap procedure based on estimated residuals fails for the least-squares estimator of the autoregression coefficient. A different procedure called wild bootstrap, respectively its modification is considered and its consistency in the strong sense is established under very mild moment conditions.},
author = {Prášková, Zuzana},
journal = {Kybernetika},
language = {eng},
number = {4},
pages = {[389]-404},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Bootstrap in nonstationary autoregression},
url = {http://eudml.org/doc/33591},
volume = {38},
year = {2002},
}

TY - JOUR
AU - Prášková, Zuzana
TI - Bootstrap in nonstationary autoregression
JO - Kybernetika
PY - 2002
PB - Institute of Information Theory and Automation AS CR
VL - 38
IS - 4
SP - [389]
EP - 404
AB - The first-order autoregression model with heteroskedastic innovations is considered and it is shown that the classical bootstrap procedure based on estimated residuals fails for the least-squares estimator of the autoregression coefficient. A different procedure called wild bootstrap, respectively its modification is considered and its consistency in the strong sense is established under very mild moment conditions.
LA - eng
UR - http://eudml.org/doc/33591
ER -

References

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