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:
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