Recent developments in bootstrapping time series
Econometric ReviewsPublished 1 January 2000
Jeremy Berkowitz, Lutz Kilian
Citations334
SJR quartileQ1
SJR score1.54
SNIP0.94
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TL;DR
It is shown that the block size plays an important role in determining the success of the block bootstrap, and a data-based block size selection procedure is proposed, which would account for lag order uncertainty in resampling.
Abstract
Bootstrap, ARLIA, Frequency Domain, Blocks,
Keywords
MathematicsEconomics, Econometrics and Finance
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