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An alternative bootstrap to moving blocks for time series regression models

Hidalgo, Javier (2003) An alternative bootstrap to moving blocks for time series regression models. EM, 452. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Abstract

The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regression models. More specifically, the first bootstrap is based on resampling from the normalised discrete Fourier transform of the residuals of the model, whereas the second is from the residuals of the model itself. It is shown that the bootstraps are asymptotically valid under quite mild conditions. As a consequence of the result we are able to eleminate the apparent drawback of choosing the block length in empirical examples. A small Monte Carlo study of finite sample performance is included.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2003 Javier Hidalgo
Library of Congress subject classification: H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 452
Date Deposited: 09 Jul 2008 14:56
URL: http://eprints.lse.ac.uk/6850/

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