Markov chain approximation in bootstrapping autoregressions

We propose a bootstrap algorithm for autoregressions based on the approximation of the data generating process by a finite state discrete Markov chain. We discover a close connection of the proposed algorithm with existing bootstrap resampling schemes, run a small Monte-Carlo experiment, and give an illustrative example.

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Year of publication:	2002
Authors:	Anatolyev, Stanislav ; Vasnev, Andrey
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2002, 19, p. 1-8
Publisher:	AccessEcon
Subject:	Bootstrap resampling in time series

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005416858