identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula … compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models …

. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density function (edf … distribution is logarithmically slow. It is proved that the bootstrap approximation provides a substantial improvement. The case of … bands is presented through a simulation study. An economic application considers the labour market differential effect with …