Abstract
It is well known that the unrestricted bootstrap estimator of the slope parameter in the random walk model without drift converges to a random distribution. This bootstrap failure is commonly attributed to the discontinuity of the limit distribution of the least-squares estimator in the parameter of interest. We demonstrate by counterexample that this type of continuity is not essential for the validity of the bootstrap nor is it essential that the rate of convergence of the estimator remain constant over the whole parameter space.We thank Don Andrews, Shinichi Sakata, Jonathan Wright, and two anonymous referees for very helpful comments. The views expressed in this paper do not necessarily reflect those of the European Central Bank or its members.
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.