Davide La Vecchia, Alban Moor, Olivier Scaillet
arXiv 14 Jan 2020 · Statistics — Methodology · publishedJournal of Econometrics (2019) · 1 citations (OpenAlex)
arXiv:2001.04867 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Smith[ R.J.] (2011) GEL criteria for moment condition models | 1.000 | 6 | 3 | 100% |
| 2 | Andrews[ D.W.] (1991) Heteroscedasticity and autocorrelation consistent covariance matrix estimation | 0.961 | 9 | 4 | 89% |
| 3 | Hu[ F.], Kalbfleisch[ J.D.] (2000) The estimating function bootstrap | 0.928 | 4 | 3 | 100% |
| 4 | Hall[ P.], Horowitz[ J.] (1996) Bootstrap critical values for tests based on generalized-method-of-moments estimators | 0.811 | 4 | 2 | 100% |
| 5 | Inoue[ A.], Shintani[ M.] (2006) Bootstrapping GMM estimators for time series | 0.811 | 4 | 2 | 100% |
| 6 | Götze[ F.], Hipp[ C.] (1994) Asymptotic distribution of statistics in time series | 0.737 | 5 | 2 | 60% |
| 7 | Smith[ R.J.] (2005) Automatic positive semidefinite HAC covariance matrix and GMM estimation | 0.737 | 4 | 4 | 50% |
| 8 | Hansen[ L.P.], Heaton[ J.], Yaron[ A.] (1996) Finite-sample properties of some alternative GMM estimators | 0.737 | 3 | 2 | 100% |
| 9 | Kitamura[ Y.], Stutzer[ M.] (1997) An information-theoretic alternative to generalized method of moments estimation | 0.737 | 3 | 2 | 100% |
| 10 | Singh[ K.], Xie[ M.], Strawderman[ W.E.] (2005) Combining information from independent sources through confidence distributions | 0.693 | 5 | 1 | 100% |
Showing the top 10 of 86 scored citations.