Autoregressive wild bootstrap inference for nonparametric trends

DOI10.1016/J.JECONOM.2019.05.006MaRDI QIDQ2280604zbMATHOpenAlexWikidataFDO

Authors Marina Friedrich, Stephan Smeekes, Jean-Pierre Urbain

Publication date 19 December 2019

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

Full work available at URL https://arxiv.org/abs/1807.02357

zbMATH Keywords

nonparametric estimationtime seriessimultaneous confidence bandstrend estimationautoregressive wild bootstrap

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Applications of statistics to environmental and related topics (62P12)

Abstract: In this paper we propose an autoregressive wild bootstrap method to construct confidence bands around a smooth deterministic trend. The bootstrap method is easy to implement and does not require any adjustments in the presence of missing data, which makes it particularly suitable for climatological applications. We establish the asymptotic validity of the bootstrap method for both pointwise and simultaneous confidence bands under general conditions, allowing for general patterns of missing data, serial dependence and heteroskedasticity. The finite sample properties of the method are studied in a simulation study. We use the method to study the evolution of trends in daily measurements of atmospheric ethane obtained from a weather station in the Swiss Alps, where the method can easily deal with the many missing observations due to adverse weather conditions.

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Cited in

(5)

• The scale enhanced wild bootstrap method for evaluating climate models using wavelets
• Properties of the nonparametric autoregressive bootstrap
• Sieve bootstrap inference for linear time-varying coefficient models
• The validity of bootstrap testing for threshold autoregression
• A residual bootstrap for conditional value-at-risk

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