Arbeitspapier

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

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Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity. We establish the asymptotic validity of three easy-toimplement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive-design wild bootstrap and the pairwise bootstrap. In a simulation study all three procedures tend to be more accurate in small samples than the conventional large-sample approximation based on robust standard errors. In contrast, standard residual-based bootstrap methods for models with i.i.d. errors may be very inaccurate if the i.i.d. assumption is violated. We conclude that in many empirical applications the proposed robust bootstrap procedures should routinely replace conventional bootstrap procedures based on the i.i.d. error assumption.

Sprache
Englisch

Erschienen in
Series: Discussion Paper Series 1 ; No. 2002,26

Klassifikation
Wirtschaft
Model Evaluation, Validation, and Selection
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistical Simulation Methods: General
Thema
wild bootstrap
pairwise bootstrap
robust inference
Bootstrap-Verfahren
ARCH-Modell
Stochastischer Prozess
Volatilität
Zeitreihenanalyse
Heteroskedastizität
Theorie

Ereignis
Geistige Schöpfung
(wer)
Kilian, Lutz
Gonçalves, Sílvia
Ereignis
Veröffentlichung
(wer)
Deutsche Bundesbank
(wo)
Frankfurt a. M.
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Kilian, Lutz
  • Gonçalves, Sílvia
  • Deutsche Bundesbank

Entstanden

  • 2002

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