Improved nonparametric confidence intervals in time series regressions

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Journal of Nonparametric Statistics, Volume 18, Number 2, February 2006, pp. 199-214
http://hdl.handle.net/10230/1246
To cite or link this document: http://hdl.handle.net/10230/1246
dc.contributor.author Romano, Joseph P.
dc.contributor.author Wolf, Michael
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 2002-07-01
dc.identifier.citation Journal of Nonparametric Statistics, Volume 18, Number 2, February 2006, pp. 199-214
dc.identifier.uri http://hdl.handle.net/10230/1246
dc.description.abstract Condence intervals in econometric time series regressions suffer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper suggests using the studentized block bootstrap and discusses practical issues, such as the choice of the block size. A particular data-dependent method is proposed to automate the method. As a side note, it is pointed out that symmetric confidence intervals are preferred over equal-tailed ones, since they exhibit improved coverage accuracy. The improvements in small sample performance are supported by a simulation study.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 635
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Improved nonparametric confidence intervals in time series regressions
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2014-06-03T07:14:07Z
dc.subject.keyword Statistics, Econometrics and Quantitative Methods
dc.subject.keyword bootstrap
dc.subject.keyword confidence intervals
dc.subject.keyword studentization
dc.subject.keyword time series regressions
dc.subject.keyword prewhitening
dc.rights.accessRights info:eu-repo/semantics/openAccess


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