THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP

DOI10.1017/S026646660319603XzbMath1441.62748OpenAlexW2170301656MaRDI QIDQ4562544

Atsushi Inoue, Lutz Kilian

Publication date: 21 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660319603x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Related Items (4)

Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics ⋮ Finite-sample simulation-based inference in VAR models with application to Granger causality testing ⋮ Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions ⋮ The uniform validity of impulse response inference in autoregressions

Uses Software

• bootstrap

Cites Work

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• Edgeworth correction by bootstrap in autoregressions
• Some asymptotic theory for the bootstrap
• Subsampling
• Diagnosing bootstrap success
• On asymptotic properties of bootstrap for AR(1) processes
• Bootstrapping unstable first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Towards a unified asymptotic theory for autoregression
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• Bootstrapping Autoregressive Processes with Possible Unit Roots

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