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A discrete model for bootstrap iteration
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DOI：10.1016/j.jeconom.2017.08.005.png)
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Abstract
En 中文
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. (C) 2017 Elsevier B.V. All rights reserved.
Keywords:
Bootstrap
Bootstrap iteration
Unit root
MA(1)
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