Bootstrapping general first order autoregression

DOI10.1016/0167-7152(95)00205-7zbMath0903.62072OpenAlexW1964661204MaRDI QIDQ1129468

Jens-Peter Kreiss, Günter Heimann

Publication date: 16 August 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00205-7

zbMATH Keywords

critical valuesstationarityleast squares estimatormodified bootstrapautoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Markov processes: hypothesis testing (62M02)

Related Items (15)

A discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions by L. Pan and D. N. Politis ⋮ Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations ⋮ Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations ⋮ A bootstrap approximation to a unit root test statistic for heavy-tailed observations. ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions ⋮ Unnamed Item ⋮ Bootstrap methods for dependent data: a review ⋮ A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS ⋮ Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors ⋮ An overview of bootstrap methods for estimating and predicting in time series ⋮ Recent developments in bootstrapping time series ⋮ A note on bootstrapping unit root tests in the presence of a non-zero drift ⋮ Median unbiased forecasts for highly persistent autoregressive processes

Cites Work

• Bootstrapping explosive autoregressive processes
• Edgeworth correction by bootstrap in autoregressions
• Some asymptotic theory for the bootstrap
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• On asymptotic properties of bootstrap for AR(1) processes
• Bootstrapping unstable first-order autoregressive processes
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Martingale Central Limit Theorems

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