The main contribution of this paper is a proof of the asymptotic validity of the application of the bootstrap to AR … establishing that a suitably constructed bootstrap estimator will have the same limit distribution as the least-squares estimator … robust standard errors or the bootstrap approximation of the distribution of autoregressive parameters. A simulation study …

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

This paper applies a novel bootstrap method, the kernel block bootstrap, to quasi-maximum likelihood estimation of …" bootstrap. We investigate the first order asymptotic properties of the kernel block bootstrap method for quasi …-maximum likelihood demonstrating, in particular, its consistency and the first-order asymptotic validity of the bootstrap approximation …