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Stanislav Anatolyev and Andrey Vasnev
''Markov chain approximation in bootstrapping autoregressions''
( 2002, Vol. 3 No.19 )
We propose a bootstrap algorithm for autoregressions based on the approximation of the data generating process by a finite state discrete Markov chain. We discover a close connection of the proposed algorithm with existing bootstrap resampling schemes, run a small Monte-Carlo experiment, and give an illustrative example.
Keywords: Bootstrap resampling in time series
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Sep 17 2002 Manuscript Accepted : Sep 17 2002

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