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Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors

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  • Jae Kim

    (Monash University)

Abstract

A bootstrap bias-correction method is applied to statistical inference in the regression model with autocorrelated errors. It is found that this method substantially reduces small-sample size distortions relative to alternative methods proposed in the literature.

Suggested Citation

  • Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-8.
    • Handle: RePEc:ebl:ecbull:eb-05c20017
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    References listed on IDEAS

    as
    1. Veall, Michael R., 1986. "Bootstrapping regression estimators under first-order serial correlation," Economics Letters, Elsevier, vol. 21(1), pages 41-44.
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    3. King, M.L. & Giles, D.E.A., 1984. "Autocorrelation pre-testing in the linear model: Estimation, testing and prediction," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 35-48.
    4. Rayner, Robert K., 1991. "Resampling methods for tests in regression models with autocorrelated errors," Economics Letters, Elsevier, vol. 36(3), pages 281-284, July.
    5. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
    6. Rilstone, Paul, 1993. "Some improvements for bootstrapping regression estimators under first-order serial correlation," Economics Letters, Elsevier, vol. 42(4), pages 335-339.
    7. Kwok, Ben & Veall, Michael R., 1988. "The jackknife and regression with AR(1) errors," Economics Letters, Elsevier, vol. 26(3), pages 247-252.
    8. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
    9. Maddala, G S & Rao, A S, 1973. "Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors," Econometrica, Econometric Society, vol. 41(4), pages 761-774, July.
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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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