An alternative bootstrap to moving blocks for time series regression models

Javier Hidalgo

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regression models. More specifically, the first bootstrap is based on resampling from the normalised discrete Fourier transform of the residuals of the model, whereas the second is from the residuals of the model itself. It is shown that the bootstraps are asymptotically valid under quite mild conditions. As a consequence of the result we are able to eleminate the apparent drawback of choosing the block length in empirical examples. A small Monte Carlo study of finite sample performance is included.

Keywords: Least squares estimation; long-range estimation; bootstrap methods (search for similar items in EconPapers)
JEL-codes: C15 C22 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2003-05
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Citations: View citations in EconPapers (41)

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