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

DOI10.1080/00949650701758290zbMATH Open1169.62339OpenAlexW2050555747MaRDI QIDQ3636729FDOQ3636729

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

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zbMATH Keywords

serial correlationwild bootstrapresidual bootstraprejection rate

Mathematics Subject Classification ID

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

Cites Work

• Testing for linear autoregressive dynamics under heteroskedasticity
• Edgeworth correction by bootstrap in autoregressions
• Jackknife, bootstrap and other resampling methods in regression analysis
• Bootstrap and wild bootstrap for high dimensional linear models
• Title not available (Why is that?)
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Bootstrap in moving average models

Cited In (3)

• A resampling method for regression models with serially correlated errors
• Bootstrapping Autoregression under Non-stationary Volatility
• Relative errors for bootstrap approximations of the serial correlation coefficient

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