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A higher-order correct fast moving-average bootstrap for dependent data

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High dimensional generalized empirical likelihood for moment restrictions with dependent data

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A higher-order correct fast moving-average bootstrap for dependent data

La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - 2020

We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment indicators. We characterize the class of parametric and semiparametric estimation problems for which the method is valid. We show the asymptotic re refinements of the new...

Persistent link: https://www.econbiz.de/10012179669