政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35143

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35143

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/35143

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35143

Title:	過濾靴帶反覆抽樣與一般動差估計式 Sieve Bootstrap Inference Based on GMM Estimators of Time Series Data
Authors:	劉祝安 Liu, Chu-An
Contributors:	郭炳伸林信助 Kuo, Biing-Shen Lin, Shinn-Juh 劉祝安 Liu, Chu-An
Keywords:	過濾靴帶反覆抽樣法區塊拔靴法一般動差估計式時間序列資料 Sieve bootstrap block bootstrap GMM estimators time series data
Date:	2004
Issue Date:	2009-09-18 14:16:00 (UTC+8)
Abstract:	In this paper, we propose two types of sieve bootstrap, univariate and multivariate approach, for the generalized method of moments estimators of time series data. Compared with the nonparametric block bootstrap, the sieve bootstrap is in essence parametric, which helps fitting data better when researchers have prior information about the time series properties of the variables of interested. Our Monte Carlo experiments show that the performances of these two types of sieve bootstrap are comparable to the performance of the block bootstrap. Furthermore, unlike the block bootstrap, which is sensitive to the choice of block length, these two types of sieve bootstrap are less sensitive to the choice of lag length.
Reference:	[1] Andrews, D. W. K. (2002), “The Block-Block Bootstrap: Improved Asymptotic Refinements,” Cowles Foundation Discussion Paper No. 1370, Yale University, New Haven, CT. [2] B¨uhlmann, P. (1997), “Sieve Bootstrap for Time Series,” Bernoulli, 3, 123-148. [3] B¨uhlmann, P. (2002), “Bootstraps for Time Series,” Statistical Science, 17, 52-72. [4] Efron, B. (1979), “Bootstrap Methods: Another Look at the Jackknife,” Annals of Statistics, 7, 1-26. [5] Efron, B., and R. J. Tibshirani (1993), An Introduction to the Bootstrap. (Chapman & Hall, New York). [6] Freedman, D. A. (1984), “On Bootstrapping Two-Stage Least-Squares Estimates in Stationary Linear Models,” Annals of Statistics, 12, 827-842. [7] Hall, P., and J. L. Horowitz (1996), “Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators,” Econometrica, 64, 891-961. [8] Hansen, B. E. (2004), Graduate Econometrics Lecture Notes, Department of Economics, University of Wisconsin, Madison, WI. [9] Hansen, L. P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, 50, 1029-1054. [10] H¨ardle, W., J. L. Horowitz, and J.-P. Kreiss (2003), “Bootstrap Methods for Time Series,” International Statistical Review, 71, 435-459. [11] Horowitz, J. L. (2001), “The Bootstrap,” in Handbook of Econometrics, Vol. 5, ed. J. J. Heckman and E. E. Leamer. (North-Holland Publishing Co., Amsterdam). [12] Inoue A., and M. Shintani (2001), “Bootstrapping GMM Estimators for Times Series,” accepted for publication in the Journal of Econometrics, Department of Agricultural and Resource Economics, North Carolina State University, Raleigh, NC. [13] Kocherlakota, N. R. (1990), “On Tests of Representative Consumer Asset Pricing Models,” Journal of Monetary Economics, 26, 285-304. [14] K¨unsch, H. R. (1989), “The Jackknife and the Bootstrap for General Stationary Observations,” Annals of Statistics, 17, 1217-1241. [15] Lahiri, S. N. (1999), “Theoretical Comparisons of the Block Bootstrap Methods,” Annals of Statistics, 27, 386-404. [16] L¨utkepohl, H. (1993), Introduction to Multiple Time Series Analysis. (Springer-Verlag, New York). [17] MacKinnon, J. G. (2002), “Bootstrap Inference in Econometrics,” Canadian Journal of Economics, 35, 615-645. [18] Staiger, D., and J. H. Stock (1997), “Instrumental Variables Regression with Weak Instruments,” Econometrica, 65, 556-586. [19] Stock, J. H., and J. H. Wright (2001), “GMM with Weak Identification,” Econometrica, 68, 1055-1096. [20] Tauchen, G. (1986), “Statistical Properties of Generalized Method-of-Moments Estimators of Structure Parameters Obtained from Financial Market Data,” Journal of Business and Economic Statistics, 4, 397-425.
Description:	碩士國立政治大學國際經營與貿易研究所 91351007 93
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0913510071
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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