Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes

Jentsch, Carsten ; Paparoditis, Efstathios ; Politis, Dimitris N.

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URL:	https://ub-madoc.bib.uni-mannheim.de/36668
URN:	urn:nbn:de:bsz:180-madoc-366688
Dokumenttyp:	Arbeitspapier
Erscheinungsjahr:	2014
Titel einer Zeitschrift oder einer Reihe:	Working Paper Series
Band/Volume:	14-18
Ort der Veröffentlichung:	Mannheim
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Rechtswissenschaft und Volkswirtschaftslehre > Statistik (Mammen)
MADOC-Schriftenreihe:	Department of Economics > Working Paper Series
Fachgebiet:	330 Wirtschaft
Fachklassifikation:	JEL: C15 , C32,
Freie Schlagwörter (Englisch):	Block bootstrap , bootstrap consistency , spurious regression , functional limit theorem , continuous-path block bootstrap , model-based block bootstrap
Abstract:	We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme applied to a full rank integrated process, succeeds in estimating consistently the distribution of the least squares estimators in both, the regression and the spurious regression case. Furthermore, it is shown that the same block resampling scheme does not succeed in estimating the distribution of the parameter estimators in the case of cointegrated time series. For this situation, a modified block resampling scheme, the so-called residual based block bootstrap, is investigated and its validity for approximating the distribution of the regression parameters is established. The performance of the proposed block bootstrap procedures is illustrated in a short simulation study.