Displaying similar documents to “Estimation of variances in a heteroscedastic RCA(1) model”

Bootstrap in nonstationary autoregression

Zuzana Prášková (2002)

Kybernetika

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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.

Wild bootstrap in RCA(1) model

Zuzana Prášková (2003)

Kybernetika

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In the paper, a heteroskedastic autoregressive process of the first order is considered where the autoregressive parameter is random and errors are allowed to be non-identically distributed. Wild bootstrap procedure to approximate the distribution of the least-squares estimator of the mean of the random parameter is proposed as an alternative to the approximation based on asymptotic normality, and consistency of this procedure is established.