Bootstrapping moving average models
In recent years, the bootstrap method has been extended to time series analysis where the observations are serially correlated. Contributions have focused on the autoregressive model producing alternative resampling procedures. In contrast, apart from some empirical applications, very little attention has been paid to the possibility of extending the use of the bootstrap method to pure moving average (MA) or mixed ARMA models. In this paper, we present a new bootstrap procedure which can be applied to assess the distributional properties of the moving average parameters estimates obtained by a least square approach. We discuss the methodology and the limits of its usage. Finally, the performance of the bootstrap approach is compared with that of the competing alternative given by the Monte Carlo simulation.
Keywordsbootstrap time series Moving Average models
Unable to display preview. Download preview PDF.
- Burg J. (1975), Maximal entropy spectral analysis,Ph.D. dissert., Stanford University, Dept. of Geophysics.Google Scholar
- Corduas, M. (1990), Approcci alternativi per il ricampionamento nei modelli Autoregressivi,Atti della XXXV Riunione Scientifica SIS, Padova, 2, 61–68.Google Scholar
- Efron B. (1982), The jackknife, the bootstrap and other resampling plans,SIAMCBMS Monograph 38, Philadelphia.Google Scholar
- Liu R. Y., Singh K. (1988), Moving blocks jackknife and bootstrap capture weak dependence,Technical Report, Dept. of Statistics, Rutgers University.Google Scholar
- White H. (1984),Asymptotic theory for econometricians, Academic Press, Orlando (CA).Google Scholar