کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417549 681534 2012 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficient bootstrap with weakly dependent processes
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Efficient bootstrap with weakly dependent processes
چکیده انگلیسی

The efficient bootstrap methodology is developed for overidentified moment conditions models with weakly dependent observation. The resulting bootstrap procedure is shown to be asymptotically valid and can be used to approximate the distributions of tt-statistics, the JJ-statistic for overidentifying restrictions, and Wald, Lagrange multiplier and distance statistics for nonlinear hypotheses. The asymptotic validity of the efficient bootstrap based on a computationally less demanding approximate kk-step estimator is also shown. The finite sample performance of the proposed bootstrap is assessed using simulations in an intertemporal consumption based asset pricing model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 11, November 2012, Pages 3444–3458
نویسندگان
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