The tapered block bootstrap for general statistics from stationary sequences
In this paper, we define and study a new block bootstrap variation, the "tapered" block bootstrap, that is applicable in the general case of approximately linear statistics, and constitutes an improvement over the original block bootstrap of Künsch (1989). The asymptotic validity, and the favorable bias properties of the tapered block bootstrap are shown in two important cases: smooth functions of means, and "M"-estimators. The important practical issues of optimally choosing the window shape and the block size are addressed in detail, while some finite-sample simulations are also presented. Copyright Royal Economic Society 2002
Volume (Year): 5 (2002)
Issue (Month): 1 (June)
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