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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Finance and Economics Discussion Series: Recent Developments in Bootstrapping Time Series

Finance and Economics Discussion Series: Recent Developments in Bootstrapping Time Series

Kilian, Lutz
Berkowitz, Jeremy
United States Federal Reserve Board

Paperback

General Political Science

ISBN10: 1288722168
ISBN13: 9781288722167
Publisher: Bibliogov
Published: Feb 6 2013
Pages: 52
Weight: 0.24
Height: 0.11 Width: 7.44 Depth: 9.69
Language: English
In recent years, several new parametric and nonparametric bootstrap methods have been proposed for time series data. Which of these methods should applied researchers use? We provide evidence that for many applications in time series econometrics parametric methods are more accurate, and we identify directions for future research on improving nonparametric methods. We explicitly address the important, but often neglected issue of model selection in bootstrapping. In particular, we emphasize the advantages of the AIC over other lag order selection criteria and the need to account for lag order uncertainty in resampling. We also show that the block size plays an important role in determining the success of the block bootstrap, and we propose a data-based block size selection procedure.

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