Displaying similar documents to “Wild bootstrap in 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.

Estimation of variances in a heteroscedastic RCA(1) model

Hana Janečková (2002)

Kybernetika

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The paper concerns with a heteroscedastic random coefficient autoregressive model (RCA) of the form X t = b t X t - 1 + Y t . Two different procedures for estimating σ t 2 = E Y t 2 , σ b 2 = E b t 2 or σ B 2 = E ( b t - E b t ) 2 , respectively, are described under the special seasonal behaviour of σ t 2 . For both types of estimators strong consistency and asymptotic normality are proved.