Improved nonparametric confidence intervals in time series regressions

Journal of Nonparametric Statistics

Volumn 18, Issue 2, 2006, Pages 199-214

  Romano, Joseph P ^a   Wolf, Michael ^b  

^a STANFORD UNIVERSITY   (United States)

^b UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

Bootstrap; Confidence intervals; Prewhitening; Studentization; Time series regressions

Indexed keywords

EID: 33745074663     PISSN: 10485252     EISSN: 10290311     Source Type: Journal    
DOI: 10.1080/10485250600687812     Document Type: Article

References (34)

1. Hannan, E.J., 1970, Multiple Time Series (New York: John Wiley).
2. White, H.L., 2001, Asymptotic Theory for Econometricians (revised edition) (New York: Academic Press).
3. Andrews, D.W.K. and Monahan, J.C., 1992, An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, 60, 953-966.
4. Newey, W.K. and West, K.D., 1994, Automatic lag selection in covariance matrix estimation. Review of Economic Studies, 61, 631-653.
5. Davison, A.C. and Hall, P., 1993, On studentizing and blocking methods for implementing the bootstrap with dependent data. Australian Journal of Statistics, 35, 215-224.
6. Götze, F. and Künsch, H.R., 1996, Second order correctness of the blockwise bootstrap for stationary observations. Annals of Statistics, 24, 1914-1933.
7. Lahiri, S.N., 1996, On Edgeworth expansion and moving block bootstrap for studentized M-estimators in multiple linear regression models. Journal of Multivariate Analysis, 56, 42-59.
8. Hall, P. and Horowitz, J., 1996, Bootstrap critical values for tests based on generalized-method-of-moments estimators. Econometrica, 64, 891-916.
9. Andrews, D.W.K., 2002, Higher order improvements of a computationally attractive k-step bootstrap for extremum estimators. Econometrica, 70, 119-162.
10. Horowitz, J., 2001, The bootstrap and hypothesis tests in econometrics. Journal of Econometrics, 100, 37-40.
11. Priestley, M.B., 1981, Spectral Analysis and Time Series (New York: Academic Press).
12. Andrews, D.W.K., 1991, Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59, 817-858.
13. Robinson, P.M. and Velasco, C., 1997, Autocorrelation-robust inference. In: G.S. Maddala and C.R. Rao (Eds) Handbook of Statistics, Vol. 15 (Elsevier Science B.V.), pp. 267-298.
14. Den Haan, W.J. and Levin, A., 1997, A practitioner's guide to robust covariance estimation. In: G.S. Maddala and C.R. Rao (Eds) Handbook of Statistics, Robust Inference, Vol. 15 (Elsevier Science B.V.), pp. 299-342.
15. Press, H. and Tukey, J.W., 1956, Power spectral methods of analysis and their application to problems in airplane dynamics. Bell Systems Monograph No. 2606.
16. Wu, C.F., 1986, Jackknife, bootstrap and other resampling methods in regression analysis. Annals of Statistics, 14, 1261-1343.
17. Künsch, H.R., 1989, The jackknife and the bootstrap for general stationary observations. Annals of Statistics, 17, 1217-1241.
18. Liu, R.Y. and Singh, K., 1992, Moving blocks jackknife and bootstrap capture weak dependence. In: R. Lepage and L. Billard (Eds) Exploring the Limits of Bootstrap (New York: John Wiley), pp. 225-248.
19. Hall, P., 1992, The Bootstrap and Edgeworth Expansion (New York: Springer).
20. Davison, A.C. and Hinkley, D.V., 1997, Bootstrap Methods and their Application (Cambridge University Press).
21. Lahiri, S.N., 1992, Edgeworth correction by 'Moving block' bootstrap for stationary and nonstationary data. In: R. Le Page and L. Billard (Eds) Exploring the Limits of Bootstrap (New York: John Wiley), pp. 183-214.
22. Andrews, D.W.K., 2002, Higher-order improvements of a computationally attractive k-step bootstrap for extremum estimators. Econometrica, 70, 119-162.
23. Hall, P., Horowitz, J.L. and Jing, B.-Y, 1996, On blocking rules for the bootstrap with dependent data. Biometrika, 50, 561-574.
24. Politis, D.N. and Romano, J.P., 1992, A circular block-resampling procedure for stationary data. In: R. LePage and L. Billard (Eds) Exploring the Limits of Bootstrap (New York: John Wiley), pp. 263-270.
25. Fitzenberger, B., 1997, The moving blocks bootstrap and robust inference for linear least squares and quantile regressions. Journal of Econometrics, 82, 235-287.
26. Politis, D.N., Romano, J.P. and Wolf, M., 1999, Subsampling (New York: Springer).
27. Lahiri, S.N., 2003, Resampling Methods for Dependent Data (New York: Springer).
28. Loh, W.Y., 1987, Calibrating confidence coefficients. Journal of the American Statistical Association, 82, 155-162.
29. Loh, W.Y., 1988, Discussion of 'Theoretical comparison of bootstrap confidence intervals' by P. Hall. Annals of Statistics, 16, 972-976.
30. Loh, W.Y., 1991, Bootstrap calibration for confidence interval construction and selection. Statistica Sinica, 1, 479-495.
31. Politis, D.N., Romano, J.P. and Wolf, M., 1997, Subsampling for heteroskedastic time series. Journal of Econometrics, 81, 281-317.
32. Romano, J.P., 1989, Bootstrap and randomization tests of some nonparametric hypotheses. Annals of Statistics, 17, 141-159.
33. Stouffer, S.A., Suchman, E.A., DeVinney, L.C., Star, S.A. and Williams, R.M. Jr., 1949, The American Soldier, Adjustment during Army Life, Vol. 1 (Princeton: Princeton University Press).
34. Mosteller, F. and Bush, R.R., 1954, Selected quantitative techniques. In: G. Lindzey (Ed.) Handbook of Social Psychology, Vol. 1 (Cambridge, Massachusetts: Addison-Wesley), pp. 289-334.