Bootstrap Methods for Time Series

By Wolfgang Karl Härdle, Joel L. Horowitz, Jens-Peter Kreiss. 2003

404 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/85668636b85fadb9e6672ac762dd48b99be5e222

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Citations in the corpus

Bootstrap Methods in Econometrics (2006, neutral): “They also include a number of more complicated techniques, such as the grid bootstrap of Hansen (1999) .”
Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension (2015, methodology): “This decorrelation property is illustrated in Figures 5 and 6 in Jentsch and Politis (2013). After suitable centering and standardizing, the whitened vector is treated as having independent and identically distributed (i.i.d.) components with zero mean and unit variance. Finally, i.i.d. resampling f”
Testing for Stochastic Dominance Efficiency (2010, background): “…this problem can be solved easily by recentering the test statistic as discussed in Linton, Maasoumi, and Whang (2005) and the review paper of Härdle, Horowitz, and Kreiss (2003) (see also Hall and Horowitz 1996 and Andrews 2002 for a discussion of the need for recentering to avoid excessive…”
Bootstrap Tests for Regression Models (2009, methodology): “The focus in Hausman (1978) is on the vector of estimator contrasts denoted by q, that is,”
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models (2006, methodology): “Under Assumptions A1–A5 and H0, the process Sn,w converges weakly to Sw on L2( ,ν), where Sw(·) has the same distribution as S0w(·) − G′w(·)V, with cov (S0w(η),V) = ∞∑ j=1 E[εtwt−j(x)h(Yt, It−1, θ0)] j(λ).”
BOOTSTRAPPING REALIZED VOLATILITY (2009, methodology): “In particular, q∗ 2 (x) = − { 1 2 ( κ2,h + κ ∗2 1,h ) He1 (x) + 1 24 ( κ4,h + 4κ ∗ 1,hκ ∗ 3,h ) He3 (x) + 1 72 κ∗2 3,hHe5 (x) } , (26)”
Bootstrap Inference in Econometrics (2002, neutral): “…performance of the block bootstrap in this case is consistent with theoretical results which suggest that the block bootstrap is likely to provide only modest improvements over asymptotic tests; see Hardle, Horowitz, and Kreiss (2001) for a review of the highly technical literature on this topic.”
HOUSING DYNAMICS OVER THE BUSINESS CYCLE (2016, positive): “Although the accuracy of block bootstrap methods can be sensitive to the choice of the block length (Hardle et al., 2003), the main takeaway from Figure 3 is unaffected by changing the length by up to +/−6 quarters.”
Bootstrap Hypothesis Testing (2007, methodology): “Surveys of these methods include Bühlmann (2002), Horowitz (2003), Politis (2003), and Härdle, Horowitz, and Kreiss (2003).”
Consistent Testing for Stochastic Dominance Under General Sampling Schemes (2005, positive): “The idea of recentering has also been suggested in other contexts by Hall and Horowitz (1999) and Whang (2001) and in this context in a recent paper by Chernozhukov (2002).”