Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models

Christis Katsouris

Papers from arXiv.org

Abstract: We establish the asymptotic validity of the bootstrap-based IVX estimator proposed by Phillips and Magdalinos (2009) for the predictive regression model parameter based on a local-to-unity specification of the autoregressive coefficient which covers both nearly nonstationary and nearly stationary processes. A mixed Gaussian limit distribution is obtained for the bootstrap-based IVX estimator. The statistical validity of the theoretical results are illustrated by Monte Carlo experiments for various statistical inference problems.

Date: 2023-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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