Markov chain approximation in bootstrapping autoregressions

Stanislav Anatolyev () and Andrey Vasnev ()
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Andrey Vasnev: New Economic School, Moscow

Economics Bulletin, 2002, vol. 3, issue 19, pages 1-8

Abstract: We propose a bootstrap algorithm for autoregressions based on the approximation of the data generating process by a finite state discrete Markov chain. We discover a close connection of the proposed algorithm with existing bootstrap resampling schemes, run a small Monte-Carlo experiment, and give an illustrative example.

Keywords: Bootstrap resampling in time series; Local bootstrap; Markov chain (search for similar items in EconPapers)
JEL-codes: C1 C4 (search for similar items in EconPapers)
Date: 2002 Written 2002-09-17
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