Citation:
Anatolyev, Stanislav (2009) "Robustness of residual-based bootstrap to composition of serially correlated errors", Journal of Statistical Computation and Simulation, vol. 79, no. 3, pp. 315-320
Abstract:
In a simple autoregressive model with serially correlated errors, we evaluate size distortions resulting from the residual bootstrap when the Wold innovation is serially dependent and hence is expected to contaminate the inference. Small distortions caused by the presence of strong conditional heteroskedasticity or other nonlinearities can be partly removed further by using the wild bootstrap.
Link to paper online:
Journal of Statistical Computation and Simulation, vol. 79, no. 3, pp. 315-320
Paper in accepted version: