Bootstrapping the nonparametric ARCH regression model

In this paper we introduce the nonparametric AR(1)–ARCH(1) model and show weak consistency of the Nadaraya–Watson estimators for the model. We propose a residual and a wild bootstrap method and prove weak consistency of the bootstrap estimators.

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Year of publication:	2014
Authors:	Shimizu, Kenichi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 87.2014, C, p. 61-69
Publisher:	Elsevier
Subject:	ARCH \| Bootstrap \| Kernel estimation \| Nonparametric regression

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010752966