The grid bootstrap for continuous time models

• 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
• Institution: Singapore Management University

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...