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Maximum likelihood and the bootstrap for nonlinear dynamic models

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  • Goncalves, Silvia
  • White, Halbert

Abstract

We provide a unified framework for analyzing bootstrapped extremum estimators of nonlinear dynamic models for heterogeneous dependent stochastic processes. We apply our results to the moving blocks bootstrap of Künsch (1989) and Liu and Singh (1992) and prove the first order asymptotic validity of the bootstrap approximation to the true distribution of quasi-maximum likelihood estimators. We also consider bootstrap testing. In particular, we prove the first order asymptotic validity of the bootstrap distribution of suitable bootstrap analogs of Wald and Lagrange Multiplier statistics for testing hypotheses. Nous proposons une approche unifiée pour analyser la méthode de bootstrap appliquée aux estimateurs de pseudo-maximum de vraisemblance dans le contexte de modèles non linéaires dynamiques où les données sont caractérisées par une dépendance d'époque proche. Nous appliquons nos résultats à la méthode de bootstrap de blocs mouvants de Künsch (1989) et Liu et Singh (1992) et nous démontrons la validité asymptotique de premier ordre de l'approximation du bootstrap à la distribution asymptotique de l'estimateur de pseudo-maximum de vraisemblance. Nous considérons aussi l'application du bootstrap à la réalisation de tests d'hypothèses. En particulier, nous démontrons la validité asymptotique des versions de bootstrap des tests de Wald et du multiplicateur de Lagrange.
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Suggested Citation

  • Goncalves, Silvia & White, Halbert, 2004. "Maximum likelihood and the bootstrap for nonlinear dynamic models," Journal of Econometrics, Elsevier, vol. 119(1), pages 199-219, March.
  • Handle: RePEc:eee:econom:v:119:y:2004:i:1:p:199-219
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    1. Gon alves, S lvia & White, Halbert, 2002. "The Bootstrap Of The Mean For Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1367-1384, December.
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