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Bootstrap estimation of covariance matrices via the percentile method

Author

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  • José A. F. Machado
  • Paulo Parente

Abstract

Consistency of the bootstrap second moments does not usually follow from the proofs of consistency of the distribution of the bootstrap. Here it is shown that the convergence of the bootstrap distribution to a normal variate implicitly defines a consistent estimator for the asymptotic second moments. The estimator is based on the L-estimation of the scale parameter of arbitrary linear combinations of the bootstrap sequence and uses Classical Minimum Distance techniques to impose the positive semi-definiteness restrictions. Copyright 2005 Royal Economic Society

Suggested Citation

  • José A. F. Machado & Paulo Parente, 2005. "Bootstrap estimation of covariance matrices via the percentile method," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 70-78, March.
    • Handle: RePEc:ect:emjrnl:v:8:y:2005:i:1:p:70-78
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    Cited by:

    1. Paulo M. D. C. Parente & Richard J. Smith, 2021. "Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
    2. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn & Zhipeng Liao, 2014. "Asymptotic Efficiency of Semiparametric Two-step GMM," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(3), pages 919-943.
    3. Su Yi & Muhammad Rabnawaz & Waqar Jalal & Ali Zeb, 2023. "The Nexus between Foreign Competition and Buying Innovation: Evidence from China’s High-Technology Industry," Sustainability, MDPI, vol. 15(15), pages 1-27, July.
    4. D’Haultfœuille, Xavier & Maurel, Arnaud & Zhang, Yichong, 2018. "Extremal quantile regressions for selection models and the black–white wage gap," Journal of Econometrics, Elsevier, vol. 203(1), pages 129-142.
    5. Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta, 2021. "Smoothing Quantile Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 338-357, January.
    6. Moosup Kim & Sangyeol Lee, 2022. "Maximum composite likelihood estimation for spatial extremes models of Brown–Resnick type with application to precipitation data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1023-1059, September.
    7. David J. Olive, 2018. "Applications of hyperellipsoidal prediction regions," Statistical Papers, Springer, vol. 59(3), pages 913-931, September.
    8. Lasanthi C. R. Pelawa Watagoda & David J. Olive, 2021. "Bootstrapping multiple linear regression after variable selection," Statistical Papers, Springer, vol. 62(2), pages 681-700, April.

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