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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| 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 |