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We study the robustness of block resampling procedures for time series. We first derive a setof formulas to quantify … ren-der inferences based on standard resampling methods useless already in simple estimation andtesting settings. To solve … this problem, we introduce a robust fast resampling scheme that isapplicable to a wide class of time series settings.[...] …
Persistent link: https://www.econbiz.de/10005868574
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...
Persistent link: https://www.econbiz.de/10012771003
This article provides an introduction to methods and challenges underlying application of the bootstrap in econometric modelling of economic and financial time series. Validity, or asymptotic validity, of the bootstrap is discussed as this is a key element in deciding whether the bootstrap is...
Persistent link: https://www.econbiz.de/10012835479
Persistent link: https://www.econbiz.de/10013260145
We introduce a wild multiplicative bootstrap for M and GMM estimators in nonlinear models when autocorrelation structures of moment functions are unknown. The implementation of the bootstrap algorithm does not require any parametric assumptions on the data generating process. After proving its...
Persistent link: https://www.econbiz.de/10014106743
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are...
Persistent link: https://www.econbiz.de/10005858034
Asymptotic tests for fractional integration are usually badly sized in small samples, even for normally distributed processes. Furthermore, tests that are well-sized under normality may be severely distorted by non-normalities and ARCH errors. This paper demonstrates how the bootstrap can be...
Persistent link: https://www.econbiz.de/10005423891
Conventional procedures for Monte Carlo and bootstrap tests require that B, the number of simulations, satisfy a specific relationship with the level of the test. Otherwise, a test that would instead be exact will either overreject or underreject for finite B. We present expressions for the...
Persistent link: https://www.econbiz.de/10005688306
Resampling methods such as the bootstrap are routinely used to estimate the finite-sample null distributions of a range …
Persistent link: https://www.econbiz.de/10005688509
This paper proposes several resampling algorithms suitable for error component models and evaluates them in the context …
Persistent link: https://www.econbiz.de/10005649435