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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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Contributor : Elisabeth Lhuillier Connect in order to contact the contributor
Submitted on : Thursday, December 7, 2017 - 4:17:56 PM
Last modification on : Monday, March 14, 2022 - 2:46:37 PM

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Russell Davidson. A discrete model for bootstrap iteration. Journal of Econometrics, 2017, 201 (2), pp.228 - 236. ⟨10.1016/j.jeconom.2017.08.005⟩. ⟨hal-01658497⟩



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