The grid bootstrap for continuous time models

The grid bootstrap for continuous time models

This article proposes the new grid bootstrap to construct confidence intervals (CI) for the persistence parameter in a class of continuous-time models. It is different from the standard grid bootstrap of Hansen in dealing with the initial condition. The asymptotic validity of the CI is discussed und...

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Bibliographic Details
Main Authors: LUI, Yiu Lim, XIAO, Weilin, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Continuous-time models
distributional expansion
Grid bootstrap
In-fill asymptotics
Probabilistic expansion
Uniform inference
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2636
https://ink.library.smu.edu.sg/context/soe_research/article/3635/viewcontent/The_grid_bootstrap_for_continuous_time_models_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2636
https://ink.library.smu.edu.sg/context/soe_research/article/3635/viewcontent/The_grid_bootstrap_for_continuous_time_models_sv.pdf

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