Publication Type

Working Paper

Version

publishedVersion

Publication Date

11-2018

Abstract

This paper considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous time models driven by a Levy process. Its asymptotic validity is established by assuming the sampling interval (h) shrinks to zero. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic around its in fill asymptotic distribution which is non-pivotal and depends on the initial condition. Monte Carlo studies show that the gird bootstrap method performs better than the in-fill asymptotic theory and much better than the long-span theory. Empirical applications to U.S. interest rate data highlight differences between the bootstrap confidence intervals and the confidence intervals obtained from the in- fill and long-span asymptotic distributions.

Keywords

Grid bootstrap, In-fill asymptotics, Continuous time models, Long-span asymptotics.

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

40

Publisher

SMU Economics and Statistics Working Paper Series, No. 20-2018

City or Country

Singapore

Copyright Owner and License

Authors

Included in

Econometrics Commons

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