Wild multiplicative bootstrap for M and GMM estimators in time series
We introduce a wild multiplicative bootstrap for M and GMM estimators in nonlinear models when autocorrelation structures of moment functions are unknown. The implementation of the bootstrap algorithm does not require any parametric assumptions on the data generating process. After proving its valid...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2019-04-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/QFE.2019.1.165/fulltext.html |