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On Jackknife-After-Bootstrap Method for Dependent Data

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  • Ufuk Beyaztas

    (Bartin University)

  • Beste H. Beyaztas

    (Bartin University)

Abstract

In this paper, we adapt sufficient and ordered non-overlapping block bootsrap methods into jackknife-after-bootstrap (JaB) algorithm to estimate the standard error of a statistic where observations form a stationary sequence. We also extend the JaB algorithm to obtain prediction intervals for future returns and volatilities of GARCH processes. The finite sample properties of the proposed methods are illustrated by an extensive simulation study and they are applied to S&P 500 stock index data. Our findings reveal that the proposed algorithm often exhibits improved performance and, is computationally more efficient compared to conventional JaB method.

Suggested Citation

  • Ufuk Beyaztas & Beste H. Beyaztas, 2019. "On Jackknife-After-Bootstrap Method for Dependent Data," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1613-1632, April.
    • Handle: RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9827-4
    DOI: 10.1007/s10614-018-9827-4
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