Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed … situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results …

the residuals. Static and dynamic properties can be tested using both asymptotic and bootstrap methods. Our monte carlo … simulations suggest that bootstrap confidence intervals are far superior to aymptotic ones particularly when estimating … density estimation ; nonparametric least squares ; bootstrap inference ; monotonicity ; convexity …

the adjustment factor, we propose a partially smoothed bootstrap empirical log- likelihood to construct a confidence …. -- Bootstrap empirical likelihood ; Confidence region ; Measurement error ; Surrogate variables …

often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical …. Special emphasis is placed on systems with cointegrated variables. -- monetary policy ; bootstrap ; impulse response ; money …

comparative quantitative Analysis. In this paper we propose a new bootstrap, or Monte Carlo, approach to such problems …. Traditional bootstrap methods in this context file based on fitting a process chosen from a wide but relatively conventional range …

use quantities derived from the parameters to disentangle the relationships between the variables. Bootstrap methods are … often used for inference on the derived quantities. Alternative bootstrap methods for this purpose are discussed, some … problems are presented. -- Impulse response ; bootstrap ; vector autoregression ; confidence interval …

behaviour of the procedure in a simulation study. -- fixed-width confidence intervals ; sequential estimation ; bootstrap for M-estimators …

and the "moment-oriented" bootstrap method of Bunke which is a wild bootstrap based on smoothed local estimators of higher … order error moments. We show that our bootstrap consistently estimates the distribution of mh(x0) - m(xo). In the present …

asymptotically for the bootstrap to be valid. However, certain model-based bootstrap methods remain valid for some interesting … bootstrap schemes remain valid for supremum-type functionals as long as they mimic the corresponding finite-dimensional joint … distributions consistently. As an example, we investigate a finite order Markov chain bootstrap in the context of a general …