sieve bootstrap have non-monotonic power functions. We argue that this difference arises from the fact that the latter …

the AR sieve bootstrap, proposed by Park (2002) and Chang and Park (2003), may alleviate this problem. We propose sieve … more robust to the underlying DGP than that of the AR sieve bootstrap. In particular, the new sieve bootstraps perform much … better than the AR sieve when a large MA root is present. We also find that the ARMA sieve bootstrap requires only a very …

sieve bootstrap procedure with joint resampling of the residuals of the different units. A simulation study shows that the …