IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models

  • Goncalves, Silvia
  • White, Halbert

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 Kunsch (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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:;origin=repeccitec
Download Restriction: no

Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt8hx21540.

in new window

Date of creation: 25 Feb 2002
Date of revision:
Handle: RePEc:cdl:ucsdec:qt8hx21540
Contact details of provider: Postal: 9500 Gilman Drive, La Jolla, CA 92093-0508
Phone: (858) 534-3383
Fax: (858) 534-7040
Web page:

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Donald W.K. Andrews, 1999. "Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators," Cowles Foundation Discussion Papers 1230, Cowles Foundation for Research in Economics, Yale University.
  2. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
  3. Sílvia Gonçalves & Halbert White, 2002. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," CIRANO Working Papers 2002s-41, CIRANO.
  4. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
  5. Lahiri, Soumendra Nath, 1996. "On Edgeworth Expansion and Moving Block Bootstrap for StudentizedM-Estimators in Multiple Linear Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 56(1), pages 42-59, January.
  6. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
  7. Andrews, Donald W. K., 1987. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Working Papers 645, California Institute of Technology, Division of the Humanities and Social Sciences.
  8. Sílvia Gonçalves & Halbert White, 2001. "The Bootstrap of the Mean for Dependent Heterogeneous Arrays," CIRANO Working Papers 2001s-19, CIRANO.
  9. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Testing in Nonlinear Models," G.R.E.Q.A.M. 97a39, Universite Aix-Marseille III.
  10. Shao, Jun, 1992. "Bootstrap variance estimators with truncation," Statistics & Probability Letters, Elsevier, vol. 15(2), pages 95-101, September.
  11. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  12. Politis, D. N. & Romano, Joseph P. & Wolf, Michael, 1997. "Subsampling for heteroskedastic time series," Journal of Econometrics, Elsevier, vol. 81(2), pages 281-317, December.
  13. Goncalves, S. & White, H., 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  14. Hahn, Jinyong, 1996. "A Note on Bootstrapping Generalized Method of Moments Estimators," Econometric Theory, Cambridge University Press, vol. 12(01), pages 187-197, March.
  15. repec:cup:etheor:v:12:y:1996:i:1:p:187-97 is not listed on IDEAS
  16. Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers 0129, Vanderbilt University Department of Economics, revised Aug 2003.
  17. Fitzenberger, Bernd, 1998. "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions," Journal of Econometrics, Elsevier, vol. 82(2), pages 235-287, February.
  18. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cdl:ucsdec:qt8hx21540. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.