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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. Journal of Econometrics, 117 (2). pp. 369-399. ISSN 0304-4076

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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 normalized discrete Fourier transform of the residuals of the model, whereas the second 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 eliminate the apparent drawback of choosing the block length in empirical examples. A small Monte Carlo study of finite-sample performance is included.

Item Type: Article
Official URL: http://www.journals.elsevier.com/journal-of-econom...
Additional Information: © 2003 Elsevier
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
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: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 14 Jun 2007
URL: http://eprints.lse.ac.uk/933/

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