Simultaneous bootstrap for all three parameters in random coefficient autoregressive models

Abstract

In this paper we consider autoregressive processes with random coefficients and develop bootstrap approaches that asymptotically work for the distribution of estimated autoregressive parameter as well as for the distribution of estimated variances of the innovation noise and the disturbance noise. We discuss how to obtain approximative residuals of the process and how to separate between the innovation and the disturbance noise in order to be able to extend the classical residual bootstrap for autoregressive processes to the situation considered in this paper. Thereafter, we propose a wild bootstrap procedure as a variation of the residual bootstrap that uses estimated densities of the innovation and the disturbance noise to generate bootstrap replicates of the data generating process. The consistency of the bootstrap approaches is established and their performance is illustrated by a simulation study.