The main contribution of this paper is to propose and theoretically justify bootstrap methods for regressions where some of the regressors are factors estimated from a large panel of data. We derive our results under the assumption that √T/N→c, where 0≤c0, a two-step residual-based...

Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. A0501n purpose of this paper is thus to establish the validity of the bootstrap in this context, extending the...

We provide a unified framework for analyzing bootstrapped extremum estimators of nonlinear dynamic models for heterogeneous dependent stochastic processes. We apply our results to the moving blocks bootstrap of Künsch (1989) and Liu and Singh (1992) and prove the first order asymptotic validity...

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

The main contribution of this paper is twofold. First, we derive the consistency and asymptotic normality of the estimated autoregressive sieve parameters when the data are generated by a stationary linear process with martingale difference errors that are possibly subject to conditional...

Value-at-Risk (VaR) and Expected Shortfall (ES) are increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR and ES techniques. The purpose of this paper is...

The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of first order local...

Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between...

Recent work in asset pricing has focused on market-wide variance as a systematic factor and on firm-specific variance as idiosyncratic risk. We study an alternative channel through which the variability of financial market returns may help our understanding of cross-sectional price formation in...

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will...