The fast iterated bootstrap
From MaRDI portal
Publication:2227056
DOI10.1016/j.jeconom.2020.04.025zbMath1464.62054OpenAlexW3028421523MaRDI QIDQ2227056
Russell Davidson, Mirza Trokić
Publication date: 9 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://hal-amu.archives-ouvertes.fr/hal-02965001/file/The%20fast%20iterated%20bootstrap.pdf
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)
Related Items
Bootstrap-based testing inference in beta regressions ⋮ Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality
Cites Work
- Bootstrap Unit-Root Tests: Comparison and Extensions
- The power of bootstrap and asymptotic tests
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- The numerical performance of fast bootstrap procedures
- Modified fast double sieve bootstraps for ADF tests
- Improving the reliability of bootstrap tests with the fast double bootstrap
- On the bootstrap and confidence intervals
- Bootstrap methods: another look at the jackknife
- Sieve bootstrap for time series
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- A discrete model for bootstrap iteration
- Iterated smoothed bootstrap confidence intervals for population quantiles
- Generalized autoregressive conditional heteroscedasticity
- Asymptotic iterated bootstrap confidence intervals
- Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
- A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
- Wild Bootstrap Tests for IV Regression
- On bootstrap resampling and iteration
- Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
- Prepivoting to reduce level error of confidence sets
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
- Nonparametric Statistical Data Modeling
- Prepivoting by weighted bootstrap iteration
- A Sieve Bootstrap For The Test Of A Unit Root
- THE SIZE DISTORTION OF BOOTSTRAP TESTS
- FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- A Fast Iterated Bootstrap Procedure for Approximating the Small-Sample Bias
- Double-bootstrap methods that use a single double-bootstrap simulation
- The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
- Diagnostics for the bootstrap and fast double bootstrap
- Brownian Motion
- The bootstrap and Edgeworth expansion
- An exact iterated bootstrap algorithm for small-sample bias reduction.
