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Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White

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Author Info

  • Andrew Patton
  • Dimitris Politis
  • Halbert White

Abstract

A correction on the optimal block size algorithms of Politis and White (2004) is given following a correction of Lahiri's (Lahiri 1999) theoretical results by Nordman (2008).

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File URL: http://www.tandfonline.com/doi/abs/10.1080/07474930802459016
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 28 (2009)
Issue (Month): 4 ()
Pages: 372-375

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Handle: RePEc:taf:emetrv:v:28:y:2009:i:4:p:372-375

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Related research

Keywords: Block bootstrap; Block size; Circular bootstrap; Stationary bootstrap;

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Cited by:
  1. Pouliot, Sébastien & Sumner, Daniel A., 2012. "Differential Impacts of Country of Origin Labeling: COOL Econometric Evidence from Cattle Markets," Working Papers 148593, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
  2. George Kapetanios & Fotis Papailias, 2011. "Block Bootstrap and Long Memory," Working Papers 679, Queen Mary, University of London, School of Economics and Finance.
  3. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," Economics Series 2011_1, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.

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