Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models

Christis Katsouris

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arXiv · 2307.14463

Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models

Christis Katsouris

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Abstract

We establish the asymptotic validity of the bootstrap-based IVX estimator proposed by Phillips and Magdalinos (2009) for the predictive regression model parameter based on a local-to-unity specification of the autoregressive coefficient which covers both nearly nonstationary and nearly stationary processes. A mixed Gaussian limit distribution is obtained for the bootstrap-based IVX estimator. The statistical validity of the theoretical results are illustrated by Monte Carlo experiments for various statistical inference problems.

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Christis Katsouris. 2023-07-26. Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. https://arxiv.org/abs/2307.14463

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