Markov chain approximation in bootstrapping autoregressions

Citation:

Anatolyev, Stanislav and Andrey Vasnev (2002) "Markov chain approximation in bootstrapping autoregressions", Economics Bulletin, Vol. 3, No. 19, pp. 1–8

Abstract:

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.

Link to paper online:

Economics Bulletin 3:19, 1−8

Presented at:

VIIth Spring Meeting of Young Economists, University of Paris 1 Panthéon-Sorbonne, France, April 18-20, 2002
X New Economic School research conference, Moscow, Russia, November 1-3, 2001

Cited by:

Cerqueti, R., Falbo, P., Guastaroba, G. and Pelizzari, C. (2013) "A Tabu Search heuristic procedure in Markov chain bootstrapping;, European Journal of Operational Research, Vol. 227, pp. 367-384.

Ocaña, J., R. El Halimi, M. C. Ruiz de Villa and J. A. Sánchez (2005) "Bootstrapping repeated measures data in a nonlinear mixed-models context", Departament d'Estadística, Universitat de Barcelona, Spain