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Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors

Listed author(s):
  • Jae Kim

    ()

    (Monash University)

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.

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File URL: http://www.accessecon.com/pubs/EB/2005/Volume3/EB-05C20017A.pdf
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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2005)
Issue (Month): 44 ()
Pages: 1-8

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Handle: RePEc:ebl:ecbull:eb-05c20017
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  1. Veall, Michael R., 1986. "Bootstrapping regression estimators under first-order serial correlation," Economics Letters, Elsevier, vol. 21(1), pages 41-44.
  2. van Giersbergen, Noud P. A. & Kiviet, Jan F., 2002. "How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach," Journal of Econometrics, Elsevier, vol. 108(1), pages 133-156, May.
  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.
  10. Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
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