Bootstrapping the nonparametric ARCH regression model

Kenichi Shimizu

Statistics & Probability Letters, 2014, vol. 87, issue C, 61-69

Abstract: In this paper we introduce the nonparametric AR(1)–ARCH(1) model and show weak consistency of the Nadaraya–Watson estimators for the model. We propose a residual and a wild bootstrap method and prove weak consistency of the bootstrap estimators.

Keywords: ARCH; Bootstrap; Kernel estimation; Nonparametric regression (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2014.01.002

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