The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true...

In this paper, we propose a model-free bootstrap method for the empirical process under absolute regularity. More precisely, consistency of an adapted version of the so-called dependent wild bootstrap, that was introduced by Shao (2010) and is very easy to implement, is proved under minimal...