On asymptotic properties of bootstrap for AR(1) processes

DOI10.1016/0378-3758(95)00147-6zbMath0854.62046OpenAlexW2050410819MaRDI QIDQ1923428

Somnath Datta

Publication date: 7 October 1996

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

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00147-6

zbMATH Keywords

weak convergencebootstrap approximationleast squares estimatorsampling distributionasymptotic validityfirst-order autoregressive processasymptotic invalidityunstable autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items (24)

TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS ⋮ A discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions by L. Pan and D. N. Politis ⋮ Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance ⋮ A modified bootstrap for autoregression without stationarity ⋮ THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP ⋮ The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent ⋮ Asymptotic inference of least absolute deviation estimation for AR(1) processes ⋮ Bootstrapping general first order autoregression ⋮ Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient ⋮ 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 ⋮ Predictive regressions for macroeconomic data ⋮ Asymptotic of theL_r-norm of density estimators in the autoregressive time series ⋮ Unnamed Item ⋮ Bootstrap methods for dependent data: a review ⋮ Optimal change-point estimation in time series ⋮ A Sieve Bootstrap For The Test Of A Unit Root ⋮ Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals ⋮ Asymptotic Theory and Unified Confidence Region for an Autoregressive Model ⋮ Efficiency and robustness in subsampling for dependent data ⋮ Recent developments in bootstrapping time series ⋮ Inconsistency of bootstrap for nonstationary, vector autoregressive processes ⋮ A note on bootstrapping unit root tests in the presence of a non-zero drift ⋮ Bootstrap tests for unit roots in seasonal autoregressive models

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