the Block-Block Bootstrap: Improved Asymptotic Refinements

DOI10.1111/J.1468-0262.2004.00509.XMaRDI QIDQ5475032zbMATH OpenOpenAlexFDO

Authors Donald W. K. Andrews

Publication date 16 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d13/d1370.pdf

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(11)

• The block bootstrap test of Hausman's exogeneity in the presence of serial correlation
• Parallel bootstrap and optimal subsample lengths in smooth function models
• The block-block bootstrap for time series
• Predictive density and conditional confidence interval accuracy tests
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• New block bootstrap methods: Sufficient and/or ordered
• Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
• Oracle GMM estimation for misspecified models via thresholding
• Oracle M-estimation for time series models
• Discussion on: ``Bootstrap methods for dependent data: a review
• Bootstrap methods for dependent data: a review

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