Abstract
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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.