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How to Implement the Bootstrap in Static or Stable Dynamic Regression Models

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Author Info
Noud P.A. van Giersbergen () (University of Amsterdam)
Jan F. Kiviet () (University of Amsterdam)

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Abstract

By combining two alternative formulations of a test statistic with two alternative resampling schemes we obtain four different bootstrap tests. In the context of static linear regression models two of these are shown to have serious size and power problems, whereas the remaining two are adequate and in fact equivalent. The equivalence between the two valid implementations is shown to break down in dynamic regression models. Then the procedure based on the test statistic approach performs best, at least in the AR(l)-model. Similar finite-sample phenomena are illustrated in the ARMA(l,l)-model through a small-scale Monte Carlo study and an empirical example.

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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-119/4.

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Date of creation: 06 Dec 2001
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Handle: RePEc:dgr:uvatin:20010119

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Web page: http://www.tinbergen.nl/

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Related research
Keywords: Asymptotic rejection probabilities; Autoregressive models; Bootstrap; Hypothesis testing; Resampling schemes;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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