Robustness of residual-based bootstrap to the composition of serially correlated errors

DOI10.1080/00949650701758290zbMath1169.62339OpenAlexW2050555747MaRDI QIDQ3636729

Stanislav Anatolyev

Publication date: 29 June 2009

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650701758290

zbMATH Keywords

serial correlationwild bootstrapresidual bootstraprejection rate

Mathematics Subject Classification ID

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

Related Items (1)

Bootstrapping Autoregression under Non-stationary Volatility

Cites Work

• Unnamed Item
• Edgeworth correction by bootstrap in autoregressions
• Jackknife, bootstrap and other resampling methods in regression analysis
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap in moving average models
• Testing for linear autoregressive dynamics under heteroskedasticity
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS

This page was built for publication: Robustness of residual-based bootstrap to the composition of serially correlated errors