Publication Type

Journal Article

Version

submittedVersion

Publication Date

4-2022

Abstract

This article proposes the new grid bootstrap to construct confidence intervals (CI) for the persistence parameter in a class of continuous-time models. It is different from the standard grid bootstrap of Hansen in dealing with the initial condition. The asymptotic validity of the CI is discussed under the in-fill scheme. The modified grid bootstrap leads to uniform inferences on the persistence parameter. Its improvement over in-fill asymptotics is achieved by expanding the coefficient-based statistic around its in-fill asymptotic distribution that is non-pivotal and depends on the initial condition. Monte Carlo studies show that the modified grid bootstrap performs better than Hansen’s grid bootstrap. Empirical applications to the U.S. interest rates and volatilities suggest significant differences between the two bootstrap procedures when the initial condition is large.

Keywords

Continuous-time models, distributional expansion, Grid bootstrap, In-fill asymptotics, Probabilistic expansion, Uniform inference

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Business and Economic Statistics

Volume

40

Issue

3

First Page

1390

Last Page

1402

ISSN

0735-0015

Identifier

10.1080/07350015.2021.1930014

Publisher

Taylor and Francis

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1080/07350015.2021.1930014

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