A modified bootstrap for autoregression without stationarity

DOI10.1016/S0378-3758(96)00092-4zbMATH Open0937.62639MaRDI QIDQ1361730FDOQ1361730

Authors: Somnath Datta, T. N. Sriram 

Publication date: 22 March 2000

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

Recommendations

• Bootstrapping general first order autoregression
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• Bootstrap in nonstationary autoregression.

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)

Cites Work

• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Bootstrap methods: another look at the jackknife
• Edgeworth correction by bootstrap in autoregressions
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Bootstrapping unstable first-order autoregressive processes
• Title not available (Why is that?)
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• Large sample confidence regions based on subsamples under minimal assumptions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bootstrap of the mean in the infinite variance case
• Fixed accuracy estimation of an autoregressive parameter
• On asymptotic properties of bootstrap for AR(1) processes
• Asymptotic properties of least-squares estimates in stochastic regression models
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• Bootstrapping explosive autoregressive processes
• A modified bootstrap for branching processes with immigration
• Limit theory and bootstrap for explosive and partially explosive autoregression

Cited In (3)

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

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