The Local Projection Residual Bootstrap for AR(1) Models
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912820527890432 |
|---|---|
| author | Velez, Amilcar |
| author_facet | Velez, Amilcar |
| contents | This paper proposes a local projection residual bootstrap method to construct confidence intervals for impulse response coefficients of AR(1) models. Our bootstrap method is based on the local projection (LP) approach and involves a residual bootstrap procedure applied to AR(1) models. We present theoretical results for our bootstrap method and proposed confidence intervals. First, we prove the uniform consistency of the LP-residual bootstrap over a large class of AR(1) models that allow for a unit root, conditional heteroskedasticity of unknown form, and martingale difference shocks. Then, we prove the asymptotic validity of our confidence intervals over the same class of AR(1) models. Finally, we show that the LP-residual bootstrap provides asymptotic refinements for confidence intervals on a restricted class of AR(1) models relative to those required for the uniform consistency of our bootstrap. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2309_01889 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | The Local Projection Residual Bootstrap for AR(1) Models Velez, Amilcar Econometrics This paper proposes a local projection residual bootstrap method to construct confidence intervals for impulse response coefficients of AR(1) models. Our bootstrap method is based on the local projection (LP) approach and involves a residual bootstrap procedure applied to AR(1) models. We present theoretical results for our bootstrap method and proposed confidence intervals. First, we prove the uniform consistency of the LP-residual bootstrap over a large class of AR(1) models that allow for a unit root, conditional heteroskedasticity of unknown form, and martingale difference shocks. Then, we prove the asymptotic validity of our confidence intervals over the same class of AR(1) models. Finally, we show that the LP-residual bootstrap provides asymptotic refinements for confidence intervals on a restricted class of AR(1) models relative to those required for the uniform consistency of our bootstrap. |
| title | The Local Projection Residual Bootstrap for AR(1) Models |
| topic | Econometrics |
| url | https://arxiv.org/abs/2309.01889 |