On bootstrapping two-stage least-squares estimates in stationary linear models

empirical distribution two-stage least squares estimator distribution of errors standard errors asymptotically valid approximations stationary linear models

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20)

Cited In (61)

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Simultaneous bootstrap for all three parameters in random coefficient autoregressive models
On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators
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Block length selection in the bootstrap for time series
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Relevant states and memory in Markov chain bootstrapping and simulation
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Bootstrapping time series models
Subsampling Continuous Parameter Random Fields and a Bernstein Inequality
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Second order optimality of stationary bootstrap
A parametric bootstrap approach for two-way error component regression models
Bootstrap inference for instrumental variable models with many weak instruments
Asymptotic bootstrap validity for finite markov chains
Bootstrap test of goodness of fit to a linear model when errors are correlated
Subsampling for heteroskedastic time series
Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
The small-sample power of Durbin's \(h\) test revisited
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Large-sample inference in the general AR(1) model
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On the relative performance of the block bootstrap for dependent data
Resampling time series using missing values techniques
A resampling method for regression models with serially correlated errors
Bootstraps for time series
A modified bootstrap for autoregression without stationarity
Guaranteed conditional ARL performance in the presence of autocorrelation
A comparison between bootstrap methods and generalized estimating equations for correlated outcomes in generalized linear models
Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach
General linear hypotheses in a two-stage least squares estimation model
The local bootstrap for Markov processes
Bootstrap of minimum distance estimators in regression with correlated disturbances
Bootstrap inference in a linear equation estimated by instrumental variables
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Some finite sample theory for bootstrap regression estimates
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Bootstrap methods for dependent data: a review
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ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
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On the moving block bootstrap under long range dependence
Monte Carlo studies on the effectiveness of the bootstrap bias reduction method on 2SLS estimates
Bootstrapping moving average models
Nonparametric resampling for stationary Markov processes: the local grid bootstrap approach
A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping
Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
The impact of bootstrap methods on time series analysis
Bootstrap-based ARMA order selection

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