Name
Abstract | ||
|---|---|---|
The first-order autoregression model with heteroskedastic innovations is considered and it is shown that the classical bootstrap procedure based on estimated residuals fails for the least-squares estimator of the autoregression coefficient. A different procedure called wild bootstrap, respectively its modification is considered and its consistency in the strong sense is established under very mild moment conditions. |
Year | Venue | Field |
|---|---|---|
2002 | KYBERNETIKA | Econometrics,Autoregressive model,Heteroscedasticity,Bayesian vector autoregression,Bootstrapping (electronics),Mathematics,Estimator |
DocType | Volume | Issue |
Journal | 38 | 4 |
ISSN | Citations | PageRank |
0023-5954 | 0 | 0.34 |
References | Authors | |
0 | 1 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Zuzana Praskova | 1 | 0 | 2.70 |