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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書目詳細資料
Main Authors:	LUI, Yiu Lim, XIAO, Weilin, Jun YU
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2022
主題:	Continuous-time models distributional expansion Grid bootstrap In-fill asymptotics Probabilistic expansion Uniform inference Econometrics
在線閱讀:	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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