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the Block-Block Bootstrap: Improved Asymptotic Refinements

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Author Info
Donald W. K. Andrews

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Abstract

The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of the original sample. This is the join-point problem. Copyright The Econometric Society 2004.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2004.00509.x
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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 72 (2004)
Issue (Month): 3 (05)
Pages: 673-700
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Handle: RePEc:ecm:emetrp:v:72:y:2004:i:3:p:673-700

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  1. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA. [Downloadable!]
  2. 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!]
  3. D. S. Poskitt, 2006. "Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 12/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  4. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics. [Downloadable!]
  5. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics. [Downloadable!]
  6. James G. MacKinnon, 2006. "Bootstrap Methods in Econometrics," Working Papers 1028, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  7. Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers 12694, Iowa State University, Department of Economics. [Downloadable!]
  8. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  9. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics. [Downloadable!]
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