A discrete model for bootstrap iteration

Russell Davidson

Journal of Econometrics, 2017, vol. 201, issue 2, 228-236

Abstract: The bootstrap can be validated by considering the sequence of P values obtained by bootstrap iteration, rather than asymptotically. If this sequence converges to a random variable with the uniform U(0,1) distribution, the bootstrap is valid. Here, the model is made discrete and finite, characterised by a three-dimensional array of probabilities. This renders bootstrap iteration to any desired order feasible. A unit-root test for a process driven by a stationary MA(1) process is known to be unreliable when the MA(1) parameter is near −1. Iteration of the bootstrap P value to convergence achieves reliable inference unless the parameter value is very close to −1.

Keywords: Bootstrap; Bootstrap iteration; Unit root; MA(1) (search for similar items in EconPapers)
JEL-codes: C10 C12 C15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407617301550
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A discrete model for bootstrap iteration (2017)
Working Paper: A discrete model for bootstrap iteration (2015)
Working Paper: A discrete model for bootstrap iteration (2015)
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:eee:econom:v:201:y:2017:i:2:p:228-236

DOI: 10.1016/j.jeconom.2017.08.005

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().