A discrete model for bootstrap iteration

Russell Davidson

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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)
Date: 2017-12
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Published in Journal of Econometrics, 2017, 201 (2), pp.228 - 236. ⟨10.1016/j.jeconom.2017.08.005⟩

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Related works:
Journal Article: 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)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01658497

DOI: 10.1016/j.jeconom.2017.08.005

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