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A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data

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  • Davide La Vecchia
  • Alban Moor
  • Olivier Scaillet

Abstract

We develop and implement a novel fast bootstrap for dependent data. Our scheme is based on the i.i.d. resampling of the smoothed moment indicators. We characterize the class of parametric and semi-parametric estimation problems for which the method is valid. We show the asymptotic refinements of the proposed procedure, proving that it is higher-order correct under mild assumptions on the time series, the estimating functions, and the smoothing kernel. We illustrate the applicability and the advantages of our procedure for Generalized Empirical Likelihood estimation. As a by-product, our fast bootstrap provides higher-order correct asymptotic confidence distributions. Monte Carlo simulations on an autoregressive conditional duration model provide numerical evidence that the novel bootstrap yields higher-order accurate confidence intervals. A real-data application on dynamics of trading volume of stocks illustrates the advantage of our method over the routinely-applied first-order asymptotic theory, when the underlying distribution of the test statistic is skewed or fat-tailed.

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  • Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers 2001.04867, arXiv.org, revised Jan 2022.
    • Handle: RePEc:arx:papers:2001.04867
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    1. Paulo Parente & Richard J. Smith, 2024. "Implied probability kernel block bootstrap for time series moment condition models," CeMMAP working papers 08/24, Institute for Fiscal Studies.

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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