A discrete model for bootstrap iteration

Abstract : The bootstrap can be validated by considering the sequence of P values obtained by bootstrap iteration, rather than asymptotically. If this sequence converges to a random variable with the uniform U(0,1) distribution, the bootstrap is valid. Here, the model is made discrete and finite, characterised by a three-dimensional array of probabilities. This renders bootstrap iteration to any desired order feasible. A unit-root test for a process driven by a stationary MA(1) process is known to be unreliable when the MA(1) parameter is near −1. Iteration of the bootstrap P value to convergence achieves reliable inference unless the parameter value is very close to −1.
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Contributeur : Elisabeth Lhuillier <>
Soumis le : jeudi 7 décembre 2017 - 16:17:56
Dernière modification le : jeudi 1 février 2018 - 17:37:50

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Russell Davidson. A discrete model for bootstrap iteration. Journal of Econometrics, Elsevier, 2017, 201 (2), pp.228 - 236. 〈http://www.sciencedirect.com/science/article/pii/S0304407617301550〉. 〈10.1016/j.jeconom.2017.08.005〉. 〈hal-01658497〉

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