A modified bootstrap for autoregression without stationarity

DOI10.1016/S0378-3758(96)00092-4MaRDI QIDQ1361730zbMATH OpenFDO

Authors Somnath Datta, T. N. Sriram

Publication date 22 March 2000

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

least squares estimatorautoregressive parameterasymptotically valid bootstrapbootstrap for autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3083069 (Why is no real title available?)
• A modified bootstrap for branching processes with immigration
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• Asymptotic properties of least-squares estimates in stochastic regression models
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Bootstrap methods: another look at the jackknife
• Bootstrap of the mean in the infinite variance case
• Bootstrapping explosive autoregressive processes
• Bootstrapping unstable first-order autoregressive processes
• Edgeworth correction by bootstrap in autoregressions
• Fixed accuracy estimation of an autoregressive parameter
• Large sample confidence regions based on subsamples under minimal assumptions
• Limit theory and bootstrap for explosive and partially explosive autoregression
• On asymptotic properties of bootstrap for AR(1) processes
• On bootstrapping two-stage least-squares estimates in stationary linear models
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model

Cited in

(3)

• Bootstrap inference for nearly nonstationary autoregressive models with heavy-tailed innovations
• Large-sample inference in the general AR(1) model
• A discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions by L. Pan and D. N. Politis

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