|
| |
| 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 |
|
