A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data

Davide La Vecchia, Alban Moor and Olivier Scaillet

Papers from arXiv.org

Abstract: We develop and implement a novel fast bootstrap for dependent data. Our scheme is based on the i.i.d. resampling of the smoothed moment indicators. We characterize the class of parametric and semi-parametric estimation problems for which the method is valid. We show the asymptotic refinements of the proposed procedure, proving that it is higher-order correct under mild assumptions on the time series, the estimating functions, and the smoothing kernel. We illustrate the applicability and the advantages of our procedure for Generalized Empirical Likelihood estimation. As a by-product, our fast bootstrap provides higher-order correct asymptotic confidence distributions. Monte Carlo simulations on an autoregressive conditional duration model provide numerical evidence that the novel bootstrap yields higher-order accurate confidence intervals. A real-data application on dynamics of trading volume of stocks illustrates the advantage of our method over the routinely-applied first-order asymptotic theory, when the underlying distribution of the test statistic is skewed or fat-tailed.

Date: 2020-01, Revised 2022-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: A higher-order correct fast moving-average bootstrap for dependent data (2023)
Working Paper: A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data (2020)
Working Paper: A higher-order correct fast moving-average bootstrap for dependent data (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2001.04867

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