This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

An Invariance Principle For Sieve Bootstrap In Time Series

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Park, Joon Y.
Abstract

This paper establishes an invariance principle applicable for the asymptotic analysis of sieve bootstrap in time series. The sieve bootstrap is based on the approximation of a linear process by a finite autoregressive process of order increasing with the sample size, and resampling from the approximated autoregression. In this context, we prove an invariance principle for the bootstrap samples obtained from the approximated autoregressive process. It is of the strong form and holds almost surely for all sample realizations. Our development relies upon the strong approximation and the Beveridge Nelson representation of linear processes. For illustrative purposes, we apply our results and show the asymptotic validity of the sieve bootstrap for Dickey Fuller unit root tests for the model driven by a general linear process with independent and identically distributed innovations. We thus provide a theoretical justification on the use of the bootstrap Dickey Fuller tests for general unit root models, in place of the testing procedures by Said and Dickey and by Phillips.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://journals.cambridge.org/abstract_S0266466602182090
File Format: text/html
File Function: link to article abstract page
Download Restriction: no

Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 18 (2002)
Issue (Month): 02 (April)
Pages: 469-490
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:18:y:2002:i:02:p:469-490_18

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Email:
Web page: http://journals.cambridge.org/jid_ECT

For technical questions regarding this item, or to correct its listing, contact: (Mike Eden).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Wagner, Martin & Hlouskova, Jaroslava, 2007. "The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study," Economics Series 210, Institute for Advanced Studies. [Downloadable!]
  2. Christophe Rault & Antonio Alfonso, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," William Davidson Institute Working Papers Series wp893, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    Other versions:
  3. Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0661, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
  4. Patrick Richard, 2007. "Sieve bootstrap unit root tests," Cahiers de recherche 07-05, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke. [Downloadable!]
  5. Peter C. B. Phillips, 2009. "Bootstrapping I(1) Data," Cowles Foundation Discussion Papers 1689, Cowles Foundation, Yale University. [Downloadable!]
  6. Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for Developing and Developed Countries. What can we Learn from Non-Stationary Panel Data Models?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  7. Park, Joon, 2003. "A Bootstrap Theory for Weakly Integrated Processes," Working Papers 2003-16, Rice University, Department of Economics. [Downloadable!]
  8. Lokshin, Boris, 2006. "Monte-Carlo comparison of alternative estimators for dynamic panel data models," Research Memoranda 014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    Other versions:
  9. Park, Joon, 2002. "Bootstrap Unit Root Tests," Working Papers 2003-04, Rice University, Department of Economics. [Downloadable!]
  10. António Afonso & Christophe Rault, 2007. "What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Working Papers 2007/20, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  11. Carsten Trenkler, 2006. "Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," SFB 649 Discussion Papers SFB649DP2006-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  12. Myunghwan Seo, 2005. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," STICERD - Econometrics Paper Series /2005/484, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  13. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2007. "A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
Statistics
Access and download statistics

Did you know? Cannot find something on IDEAS? Encourage the publisher to index it! Instructions.

This page was last updated on 2009-11-24.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.