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The Bootstrap of Mean for Dependent Heterogeneous Arrays

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  • Goncalves, S.
  • White, H.

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:mtl:montec:2001-19
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    References listed on IDEAS

    as
    1. Donald W. K. Andrews, 2002. "Higher-Order Improvements of a Computationally Attractive "k"-Step Bootstrap for Extremum Estimators," Econometrica, Econometric Society, vol. 70(1), pages 119-162, January.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. 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.
    4. Hansen, Bruce E., 1991. "GARCH(1, 1) processes are near epoch dependent," Economics Letters, Elsevier, vol. 36(2), pages 181-186, June.
    5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    6. Hansen, Bruce E., 1991. "Strong Laws for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 7(2), pages 213-221, June.
    7. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(1), pages 17-39, February.
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    15. repec:cup:etheor:v:7:y:1991:i:2:p:213-21 is not listed on IDEAS
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    More about this item

    Keywords

    SAMPLING ; ECONOMIC MODELS;

    JEL classification:

    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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