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

DOI10.1080/00949650701758290MaRDI QIDQ3636729zbMATH OpenOpenAlexFDO

Authors 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

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

Recommendations

• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
• Bootstrap in nonstationary autoregression.
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• A resampling method for regression models with serially correlated errors

Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap in moving average models
• Edgeworth correction by bootstrap in autoregressions
• Jackknife, bootstrap and other resampling methods in regression analysis
• Testing for linear autoregressive dynamics under heteroskedasticity

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

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3636729)