arXiv 28 Jan 2021 · Econometrics · 2 citations (OpenAlex)
arXiv:2101.12312 · PDF · DOI · OpenAlex · Extracted main text
This paper focuses on the bootstrap for network dependent processes under the conditional $\psi$-weak dependence. Such processes are distinct from other forms of random fields studied in the statistics and econometrics literature so that the existing bootstrap methods cannot be applied directly. We propose a block-based approach and a modification of the dependent wild bootstrap for constructing confidence sets for the mean of a network dependent process. In addition, we establish the consistency of these methods for the smooth function model and provide the bootstrap alternatives to the network heteroskedasticity-autocorrelation consistent (HAC) variance estimator. We find that the modified dependent wild bootstrap and the corresponding variance estimator are consistent under weaker conditions relative to the block-based method, which makes the former approach preferable for practical implementation.
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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 | Kojevnikov, D., Marmer, V., Song, K (2020) Limit theorems for network dependent random variables self | 0.941 | 12 | 4 | 83% |
| 2 | Lahiri, S. N (2003) Resampling Methods for Dependent Data | 0.928 | 4 | 3 | 100% |
| 3 | Shao, X (2010) The dependent wild bootstrap | 0.737 | 3 | 2 | 100% |
| 4 | Conley, T. G (1999) GMM estimation with cross-sectional dependence | 0.644 | 2 | 2 | 100% |
| 5 | Doukhan, P., Louhichi, S (1999) A new weak dependence condition and applications to moment inequalities | 0.644 | 2 | 2 | 100% |
| 6 | Belyaev, Y., Sjöstedt-de Luna, S (2000) Weakly approaching sequences of random distributions | 0.405 | 1 | 1 | 100% |
| 7 | Bentkus, V (2003) On the dependence of the Berry-Esseen bound on dimension | 0.405 | 1 | 1 | 100% |
| 8 | Berti, P., Pratelli, L., Rigo, P (2006) Almost sure weak convergence of random probability measures | 0.405 | 1 | 1 | 100% |
| 9 | Bühlmann, P. L (1993) The blockwise bootstrap in time series and empirical processes | 0.405 | 1 | 1 | 100% |
| 10 | Calhoun, G (2018) Block bootstrap consistency under weak assumptions | 0.405 | 1 | 1 | 100% |
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