Working paper
Open access

A higher-order correct fast moving-average bootstrap for dependent data

Number of pages44
Publication date2020

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.

  • Fast bootstrap methods
  • Higher-order refinements
  • Generalized Empirical Likelihood
  • Confidence distributions
  • Mixing processes.
  • JEL : C12
Citation (ISO format)
LA VECCHIA, Davide, MOOR, Alban, SCAILLET, Olivier. A higher-order correct fast moving-average bootstrap for dependent data. 2020
Main files (1)
Working paper
  • PID : unige:129395

Technical informations

Creation01/23/2020 4:35:00 PM
First validation01/23/2020 4:35:00 PM
Update time03/15/2023 6:49:31 PM
Status update03/15/2023 6:49:31 PM
Last indexation10/19/2023 12:04:27 PM
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