Diagnostics for the bootstrap and fast double bootstrap

Russell Davidson

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Abstract: The bootstrap is typically less reliable in the context of time-series models with serial correlation of unknown form than when regularity conditions for the conventional IID bootstrap apply. It is, therefore, useful to have diagnostic techniques capable of evaluating bootstrap performance in specific cases. Those suggested in this paper are closely related to the fast double bootstrap (FDB) and are not computationally intensive. They can also be used to gauge the performance of the FDB itself. Examples of bootstrapping time series are presented, which illustrate the diagnostic procedures, and show how the results can cast light on bootstrap performance.

Keywords: Autocorrelation of unknown form; bootstrap; diagnostics for bootstrap; fast double bootstrap; time series (search for similar items in EconPapers)
Date: 2017-10
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Citations: View citations in EconPapers (1)

Published in Econometric Reviews, 2017, 36 (6-9), pp.1021 - 1038. ⟨10.1080/07474938.2017.1307918⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01684674

DOI: 10.1080/07474938.2017.1307918

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