Bootstrap of linear model with AR-error structure

DOI10.1007/BF01894336zbMath0838.62051MaRDI QIDQ1907601

Winfried Stute

Publication date: 4 June 1996

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176621

zbMATH Keywords

linear modelbootstrap approximationsimulation studynormal approximationgeneralized least squaresautoregressive error structuretwo-stage GLS estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09)

Related Items (5)

Local polynomial regression smoothers with AR-error structure. ⋮ Bootstrapping regression models with locally stationary disturbances ⋮ Generalized minimum distance estimators of a linear model with correlated errors. ⋮ An overview of bootstrap methods for estimating and predicting in time series ⋮ Bootstrap of minimum distance estimators in regression with correlated disturbances

Cites Work

• On bootstrapping two-stage least-squares estimates in stationary linear models
• Convergence systems and strong consistency of least squares estimates in regression models
• Strong consistency of least squares estimators in regression with correlated disturbances
• Generalized Least Squares with an Estimated Autocovariance Matrix
• The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors
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