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Title: Wild bootstrap in RCA(1) model (English)
Author: Prášková, Zuzana
Language: English
Journal: Kybernetika
ISSN: 0023-5954
Volume: 39
Issue: 1
Year: 2003
Pages: [1]-12
Summary lang: English
Category: math
Summary: In the paper, a heteroskedastic autoregressive process of the first order is considered where the autoregressive parameter is random and errors are allowed to be non-identically distributed. Wild bootstrap procedure to approximate the distribution of the least-squares estimator of the mean of the random parameter is proposed as an alternative to the approximation based on asymptotic normality, and consistency of this procedure is established. (English)
Keyword: randomcoefficient autoregression
Keyword: heteroskedasticity
Keyword: wild bootstrap
MSC: 62E20
MSC: 62G09
MSC: 62M10
idZBL: Zbl 1248.62155
idMR: MR1980120
Date available: 2009-09-24T19:50:39Z
Last updated: 2015-03-23
Stable URL:
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