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The Bootstrap of Mean for Dependent Heterogeneous Arrays

  • Goncalves, S.
  • White, H.

Presently, conditions ensuring the validity of bootstrap methods for sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are known. Here we establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods to a class of processes broadly relevant for application in economics and finance.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2001-19.

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Length: 21 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:mtl:montec:2001-19
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  1. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
  2. 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.
  3. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  5. Hansen, Bruce E., 1991. "GARCH(1, 1) processes are near epoch dependent," Economics Letters, Elsevier, vol. 36(2), pages 181-186, June.
  6. 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.
  7. repec:cup:etheor:v:7:y:1991:i:2:p:213-21 is not listed on IDEAS
  8. Marine Carrasco & Xiaohong Chen, 1999. "b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models," Working Papers 99-41, Centre de Recherche en Economie et Statistique.
  9. Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 53-70.
  10. Hansen, Bruce E., 1991. "Strong Laws for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 7(02), pages 213-221, June.
  11. Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
  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.
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