| Autor: |
La Vecchia, Davide, Moor, Alban, Scaillet, Olivier |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Journal of Econometrics. 235:65-81 |
| ISSN: |
0304-4076 |
| Popis: |
We develop and implement a novel fast bootstrap for dependent data. Our scheme is based on the i.i.d. resampling of the smoothed moment indicators. We characterize the class of parametric and semi-parametric estimation problems for which the method is valid. We show the asymptotic refinements of the proposed procedure, proving that it is higher-order correct under mild assumptions on the time series, the estimating functions, and the smoothing kernel. We illustrate the applicability and the advantages of our procedure for Generalized Empirical Likelihood estimation. As a by-product, our fast bootstrap provides higher-order correct asymptotic confidence distributions. Monte Carlo simulations on an autoregressive conditional duration model provide numerical evidence that the novel bootstrap yields higher-order accurate confidence intervals. A real-data application on dynamics of trading volume of stocks illustrates the advantage of our method over the routinely-applied first-order asymptotic theory, when the underlying distribution of the test statistic is skewed or fat-tailed. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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