Markov chain approximation in bootstrapping autoregressions

Stanislav Anatolyev and Andrey Vasnev

Economics Bulletin, 2002, vol. 3, issue 19, 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 (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2002-09-17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2002/Volume3/EB-02C10004A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-02c10004

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().