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Bootstrap of linear model with AR-error structure. (English) Zbl 0838.62051

Summary: We consider a linear model with autoregressive error structure. It is shown that with probability one the distribution of the two-stage GLS estimator admits a bootstrap approximation. In a simulation study it is demonstrated that the bootstrap outperforms the normal approximation if the innovation variables are heavily correlated.

MSC:

62J05 Linear regression; mixed models
62G09 Nonparametric statistical resampling methods
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics
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References:

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