Bootstrap confidence regions computed from autoregressions of arbitrary order

By E. Choi, Peter Hall. 2000

66 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c7a82251af34410ba6bff7d9746d9dd34b13b079

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In Management Science and Operations Research

In Statistics and Probability

Citations in the corpus

The Impact of Bootstrap Methods on Time Series Analysis (2003, unknown): “Under assumption (5), Choi and Hall (2000) proved a higher-order accuracy property of the AR(∞) bootstrap in the sample mean case, while Bühlmann (1997, 2002) showed that the AR(∞) bootstrap estimator σ̂ 2 AR(p) of σ 2 n = Var( √ nX̄n) has a performance comparable to the aforementioned optimal estim”
Detection of Multiple Structural Breaks in Multivariate Time Series (2013, background): “…closely related to the one-dimensional AR(∞) bootstrap introduced by Kreiss (1988) and has found considerable attention in the recent literature (see Choi and Hall 2000; Goncalves and Kilian 2007; or Berg, Paparoditis, and Politis 2010 among others); since it is easy to implement but has…”
Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes (2008, unknown): “Choi and Hall (2000) have shown, however, that when the sieve bootstrap is applied to a linear process then the error in the coverage probability of a onesided confidence interval is O(Tb 1), for any b>0, which is only slightly larger than O(T 1).”
Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity (2007, background): “innovations have been studied by Kreiss ( 1997 ), Buhlmann ( 1997 ), and Choi and Hall ( 2000 ), among others.”
Bootstrapping Unit Root Tests for Autoregressive Time Series (2005, methodology): “This is the idea of the AR sieve bootstrap proposed by Kreiss (1988) (see also Paparoditis and Streitberg 1992; Bühlmann 1997; Choi and Hall 2000).”
Bootstrap Methods in Econometrics (2006, unknown): “For more detailed treatments, see B¨uhlmann (1997, 2002), Choi and Hall (2000) , and Park (2002).”
Bootstrap Methods in Econometrics (2018, unknown): “m variables. A linear statistic has the form 1 1 1 1 ( 1) ( ,..., ) nq n i iq i θ n q GX X −+ − +− = = −+∑ , where q ≥1 is a fixed integer and G is a known function. Define θ=E [ ( ,..., )]GX X 1 q . Choi and Hall (2000) considered the problem of finding a one-sided confidence interval for θ. They g”
The Error in Rejection Probability of Simple Autocorrelation Robust Tests (2004, methodology): “(ii) Bootstrap-based autocorrelation robust one-sided testing procedures have been studied by Choi and Hall (2000) and Götze and Künsch (1996).”
Bootstrap Inference in Econometrics (2002, unknown): “For details, see Biihlmann (1997, 1998), Choi and Hall (2000), Park (2002), and Chang and Park (2002).”
On the range of validity of the autoregressive sieve bootstrap (2012, background): “…and Bühlmann (1999) introduced a mixing concept appropriate for investigating properties of the AR-sieve bootstrap which is related to the weak dependence concept of Doukhan and Louhichi (1999), while Choi and Hall (2000) focused on properties of the AR-sieve bootstrap-based confidence intervals.”
Bootstrap Methods for Time Series (2003, methodology): “The described AR-sieve bootstrap has been introduced by Kreiss (1988) and has been investigated from several points of view in Paparoditis and Streitberg (1991), Kreiss (1992), Paparoditis (1996), Bühlmann (1997), Kreiss (1997), Bühlmann (1998), Choi and Hall (2000), Gonçalves and Kilian (2007), Pos”
The bootstrap in econometrics (2003, background): “Bühlmann (1997, 1998), Choi and Hall (2000), Kreiss (1992) and Paparoditis (1996) proposed a sieve bootstrap for linear processes.”