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Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component

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  • Gospodinov, Nikolay

Abstract

This article proposes a bootstrap method for constructing two-sided confidence intervals for the moving average (MA) parameter in nearly noninvertible models. The confidence intervals are obtained by inverting the acceptance region of the likelihood ratio (LR) test reflecting the asymmetry of the likelihood near the noninvertibility boundary. The limiting distribution of the LR statistic is nonpivotal and its quantiles are parameterized as a function of the MA parameter and then approximated by grid bootstrap. The proposed method is used to investigate the parameter instability in inflation and time variability of risk premium in interest rates.

Suggested Citation

  • Gospodinov, Nikolay, 2002. "Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 254-268, April.
    • Handle: RePEc:bes:jnlbes:v:20:y:2002:i:2:p:254-68
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    Cited by:

    1. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
    2. Mihaela Simionescu & Irina Dragan, 2016. "The Evaluation Of Quarterly Forecast Intervals For Inflation Rate In Romania," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 14(1), pages 80-89, May.
    3. Stanislav Anatolyev & Nikolay Gospodinov, 2012. "Asymptotics of near unit roots (in Russian)," Quantile, Quantile, issue 10, pages 57-71, December.
    4. James Morley & Irina B. Panovska & Tara M. Sinclair, 2013. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41A, School of Economics, The University of New South Wales.
    5. Nikolay Gospodinov & Serena Ng, 2015. "Minimum Distance Estimation of Possibly Noninvertible Moving Average Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 403-417, July.
    6. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    7. James Morley & Irina B. Panovska & Tara M. Sinclair, 2014. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41B, School of Economics, The University of New South Wales.

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