Comments on “bootstrapping time series models”
- 1 January 1996
- journal article
- research article
- Published by Taylor & Francis in Econometric Reviews
- Vol. 15 (2) , 183-190
- https://doi.org/10.1080/07474939608800349
Abstract
We take issue with the main suggestion in Li and Maddala (LiMa) that bootstrapping residuals is always the preferred approach and question some of their guidelines. We show that it can be potentially misleading to mimic the autocovariance structure of residuals, since it can be very different from that of true errors. We emphasize that the residuals are sensitive to model misspecification and generally not a part of the information set. We make constructive suggestions and propose a semiparametric method.Keywords
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