The block-block bootstrap for time series

DOI10.1080/03610926.2011.611605MaRDI QIDQ2859302zbMATH OpenOpenAlexFDO

Authors Emma M. Iglesias

Publication date 7 November 2013

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.611605

zbMATH Keywords

asymptotic refinementsblock-block bootstrapGMMHAC

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• Bootstrapping GMM estimators for time series
• the Block-Block Bootstrap: Improved Asymptotic Refinements
• Empirical likelihood block bootstrapping
• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
• Automatic Block-Length Selection for the Dependent Bootstrap

Cites work

• A general resampling scheme for triangular arrays of -mixing random variables with application to the problem of spectral density estimation
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A Nonparametric Prewhitened Covariance Estimator
• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Bootstrapping GMM estimators for time series
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inverse probability weighted estimation for general missing data problems
• On blocking rules for the bootstrap with dependent data
• On Edgeworth expansion and moving block bootstrap for Studentized M-estimators in multiple linear regression models
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Second-order correctness of the blockwise bootstrap for stationary observations
• the Block-Block Bootstrap: Improved Asymptotic Refinements
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence

Cited in

(12)

• An alternative bootstrap to moving blocks for time series regression models
• Consistency and application of moving block bootstrap for non-stationary time series with periodic and almost periodic structure
• Bootstrapping GMM estimators for time series
• Block Bootstrap for the Autocovariance Coefficients of Periodically Correlated Time Series
• Generalized seasonal tapered block bootstrap
• Block bootstrap for periodic characteristics of periodically correlated time series
• The Hybrid Wild Bootstrap for Time Series
• Block Bootstraps for Time Series With Fixed Regressors
• Independent block identification in multivariate time series
• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
• A Progressive Block Empirical Likelihood Method for Time Series
• the Block-Block Bootstrap: Improved Asymptotic Refinements

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