EconPapers    
Economics at your fingertips  
 

Bootstrap estimation of covariance matrices via the percentile method

José António Machado and Paulo Parente ()

Econometrics Journal, 2005, vol. 8, issue 1, 70-78

Abstract: Consistency of the bootstrap second moments does not usually follow from the proofs of consistency of the distribution of the bootstrap. Here it is shown that the convergence of the bootstrap distribution to a normal variate implicitly defines a consistent estimator for the asymptotic second moments. The estimator is based on the L-estimation of the scale parameter of arbitrary linear combinations of the bootstrap sequence and uses Classical Minimum Distance techniques to impose the positive semi-definiteness restrictions. Copyright 2005 Royal Economic Society

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2005.00152.x link to full text (text/html)
Access to full text is restricted to subscribers.

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:ect:emjrnl:v:8:y:2005:i:1:p:70-78

Ordering information: This journal article can be ordered from
http://www.ectj.org

Access Statistics for this article

Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

 
Page updated 2021-03-28
Handle: RePEc:ect:emjrnl:v:8:y:2005:i:1:p:70-78