A discrete model for bootstrap iteration

DOI10.1016/j.jeconom.2017.08.005zbMath1377.62096OpenAlexW2798024132MaRDI QIDQ1676370

Russell Davidson

Publication date: 7 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/130048

zbMATH Keywords

bootstrapunit rootMA(1)bootstrap iteration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items

The fast iterated bootstrap, Editors' introduction

Cites Work

• Improving the reliability of bootstrap tests with the fast double bootstrap
• On the bootstrap and confidence intervals
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Asymptotic iterated bootstrap confidence intervals
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• On bootstrap resampling and iteration
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Prepivoting to reduce level error of confidence sets
• On Bootstrap Iteration for Coverage Correction in Confidence Intervals
• Prepivoting by weighted bootstrap iteration
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models
• The bootstrap and Edgeworth expansion
• An exact iterated bootstrap algorithm for small-sample bias reduction.