The grid bootstrap for continuous time models

This paper considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous time models driven by a Levy process. Its asymptotic validity is established by assuming the sampling interval (h) shrinks to zero. Its improvement over the in-fill as...

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Main Authors: LUI, Yiu Lim, XIAO, Weilin, YU, Jun
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語言:English
出版: Institutional Knowledge at Singapore Management University 2018
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https://ink.library.smu.edu.sg/context/soe_research/article/3209/viewcontent/gridbootcont19_.pdf
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spelling sg-smu-ink.soe_research-32092019-04-19T15:24:56Z The grid bootstrap for continuous time models LUI, Yiu Lim XIAO, Weilin YU, Jun This paper considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous time models driven by a Levy process. Its asymptotic validity is established by assuming the sampling interval (h) shrinks to zero. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic around its in fill asymptotic distribution which is non-pivotal and depends on the initial condition. Monte Carlo studies show that the gird bootstrap method performs better than the in-fill asymptotic theory and much better than the long-span theory. Empirical applications to U.S. interest rate data highlight differences between the bootstrap confidence intervals and the confidence intervals obtained from the in- fill and long-span asymptotic distributions. 2018-11-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2210 https://ink.library.smu.edu.sg/context/soe_research/article/3209/viewcontent/gridbootcont19_.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Grid bootstrap In-fill asymptotics Continuous time models Long-span asymptotics. Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Grid bootstrap
In-fill asymptotics
Continuous time models
Long-span asymptotics.
Econometrics
spellingShingle Grid bootstrap
In-fill asymptotics
Continuous time models
Long-span asymptotics.
Econometrics
LUI, Yiu Lim
XIAO, Weilin
YU, Jun
The grid bootstrap for continuous time models
description This paper considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous time models driven by a Levy process. Its asymptotic validity is established by assuming the sampling interval (h) shrinks to zero. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic around its in fill asymptotic distribution which is non-pivotal and depends on the initial condition. Monte Carlo studies show that the gird bootstrap method performs better than the in-fill asymptotic theory and much better than the long-span theory. Empirical applications to U.S. interest rate data highlight differences between the bootstrap confidence intervals and the confidence intervals obtained from the in- fill and long-span asymptotic distributions.
format text
author LUI, Yiu Lim
XIAO, Weilin
YU, Jun
author_facet LUI, Yiu Lim
XIAO, Weilin
YU, Jun
author_sort LUI, Yiu Lim
title The grid bootstrap for continuous time models
title_short The grid bootstrap for continuous time models
title_full The grid bootstrap for continuous time models
title_fullStr The grid bootstrap for continuous time models
title_full_unstemmed The grid bootstrap for continuous time models
title_sort grid bootstrap for continuous time models
publisher Institutional Knowledge at Singapore Management University
publishDate 2018
url https://ink.library.smu.edu.sg/soe_research/2210
https://ink.library.smu.edu.sg/context/soe_research/article/3209/viewcontent/gridbootcont19_.pdf
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