A bootstrap procedure in linear regression with nonstationary errors

DOI10.2307/3315680MaRDI QIDQ4399504zbMATH OpenOpenAlexFDO

Authors Arthur B. Yeh

Publication date 15 November 1998

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315680

zbMATH Keywords

alpha-mixingblocking external bootstrapconsistencyleast-squares estimatornonstationary sequence of errors

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Recommendations

• Block Bootstraps for Time Series With Fixed Regressors
• Block external bootstrap in partially linear models with nonstationary strong mixing error terms
• Bootstrap in nonstationary autoregression.
• A note on stationary bootstrap variance estimator under long-range dependence
• Block bootstrap for dependent errors-in-variables

Cites work

• Bootstrapping regression models
• Bootstrapping robust regression
• Efficiency and robustness in resampling
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• On Edgeworth expansion and moving block bootstrap for Studentized M-estimators in multiple linear regression models
• The jackknife and the bootstrap for general stationary observations
• The Little Bootstrap and Other Methods for Dimensionality Selection in Regression: X-Fixed Prediction Error

Cited in

(9)

• Bootstrap of linear model with AR-error structure
• Bootstrapping regression models with locally stationary disturbances
• Estimating the variance of a combined forecast: bootstrap-based approach
• Block bootstrap for dependent errors-in-variables
• Block external bootstrap in partially linear models with nonstationary strong mixing error terms
• scientific article; zbMATH DE number 6156723 (Why is no real title available?)
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
• A WILD BOOTSTRAP FOR DEPENDENT DATA
• A note on stationary bootstrap variance estimator under long-range dependence

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