How to implement the bootstrap in static or stable dynamic regression models: Test statistic versus confidence region approach

Journal of Econometrics

Volumn 108, Issue 1, 2002, Pages 133-156

  Van Giersbergen, Noud P A ^a   Kiviet, Jan F ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Asymptotic rejection probabilities; Autoregressive models; Bootstrap; Hypothesis testing; Resampling schemes

Indexed keywords

MATHEMATICAL MODELS; MATRIX ALGEBRA; MONTE CARLO METHODS; NUMERICAL METHODS; PROBABILITY; PROBLEM SOLVING; REGRESSION ANALYSIS; STATISTICAL TESTS;

ASYMPTOTIC REJECTION PROBABILITIES; AUTOREGRESSIVE MODELS; HYPOTHESIS TESTING;

ECONOMICS;

EID: 0344111839     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00132-4     Document Type: Article

References (34)

1. Basawa I.V., Mallik A.K., McCormick W.P., Reeves J.H., Taylor R.L. Bootstrapping unstable first order autoregressive processes. The Annals of Statistics. 19:1991;1089-1101.
2. Beran R. Simulated power functions. The Annals of Statistics. 14:1986;151-173.
3. Beran R. Prepivoting to reduce level error of confidence sets. Biometrika. 74:1987;151-173.
4. Berkowitz J., Kilian L. Recent developments in bootstrapping time series. Econometric Reviews. 19:2000;1-48.
5. Bickel P.J., Freedman D.A. Bootstrapping regression models with many parameters. Bickel P.J., Doksum K., Hodges J.C. A Festschrift for Erich Lehmann. 1983;28-48 Wadsworth, California.
6. Bose A. Edgeworth correction by bootstrap in autoregressions. The Annals of Statistics. 16:1988;1709-1722.
7. Carpenter J. Test inversion bootstrap confidence intervals. Journal of the Royal Statistical Society, Series B. 61:1999;159-172.
8. Davidson R. Comment on 'Recent developments in bootstrapping time series'. Econometric Reviews. 19:1999;49-54.
9. Davison A.C., Hinkley D.V. Bootstrap Methods and their Applications. 1997;Cambridge University Press, Cambridge.
10. Davidson R., MacKinnon J.G. The size distortion of bootstrap tests. Econometric Theory. 15:1999;361-376.
11. DiCiccio T.J., Romano J.P. Nonparametric confidence limits by resampling methods and least favorable families. International Statistical Review. 58:1990;59-76.
12. Efron B., Tibshirani R.J. An Introduction to the Bootstrap. 1993;Chapman & Hall, London.
13. Ferretti N., Romo J. Unit root bootstrap tests for AR(1) models. Biometrika. 83:1996;849-860.
14. Freedman D.A. Bootstrapping regression models. The Annals of Statistics. 9:1981;1218-1228.
15. Freedman D.A. On bootstrapping two-stage least-squares estimates in stationary linear models. The Annals of Statistics. 12:1984;827-842.
16. 2 1993, Oxford, UK.
17. Hall P. On the number of bootstrap simulations required to construct a confidence interval. The Annals of Statistics. 14:1986;1453-1462.
18. Hall P. Unusual properties of bootstrap confidence intervals in regression problems. Probablity Theory and Related Fields. 81:1989;247-273.
19. Hall P. The Bootstrap and Edgeworth Expansion. 1992;Springer, Berlin.
20. Hall P., Wilson S.R. Two guidelines for bootstrap hypothesis testing. Biometrics. 47:1991;757-762.
21. Hansen B. The grid bootstrap and the autoregressive model. The Review of Economics and Statistics. 81:1999;594-607.
22. Horowitz J.L. Bootstrap-based critical values for the information-matrix test. Journal of Econometrics. 61:1994;395-411.
23. Horowitz J.L. Bootstrap methods in econometrics: theory and numerical performance. Kreps D., Wallis K. Advances in Economics and Econometrics: Theory and Applications, Vol. 3. 1997;188-222 Cambridge University Press, Cambridge.
24. Kreiss J.-P., Franke J. Bootstrapping stationary autoregressive moving-average models. Journal of Time Series Analysis. 13:1992;297-317.
25. Li H., Maddala G.S. Bootstrapping time series models (with discussion). Econometric Reviews. 15:1996;115-158.
26. Mammen E. Bootstrap and wild bootstrap for high dimensional linear models. The Annals of Statistics. 21:1993;255-285.
27. McLeod A.I., Hipel K.W. Simulation procedures for Box-Jenkins models. Water Resources Research. 14:1978;969-975.
28. Nankervis J.C., Savin N.E. The Student's. t approximation in a stationary first order autoregressive model Econometrica. 56:1988;119-145.
29. Navidi W. Edgeworth expansions for bootstrapping regression models. The Annals of Statistics. 17:1989;1472-1478.
30. Nelson C.R., Plosser C.I. Trends and random walks in macroeconomic time series. Journal of Monetary Economics. 10:1982;139-162.
31. Schotman P.C., van Dijk H.K. On bayesian routes to unit roots. Journal of Applied Econometrics. 6:1991;387-401.
32. Tanaka K. Asymptotic expansions associated with the AR(1) model with unknown mean. Econometrica. 51:1983;1221-1231.
33. Tibshirani R. Comment on 'Two guidelines for bootstrap hypothesis testing' by P. Hall and S.R. Wilson. Biometrics. 48:1992;969-970.
34. Wu C.F.J. Jackknife, bootstrap and other resampling methods in regression analysis (with discussion). The Annals of Statistics. 14:1986;1261-1295.