Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models

Author:

Christis Katsouris

Keyword:

Economics, Econometrics, Econometrics (econ.EM)

journal:

date:

2023-07-25 16:00:00

Abstract

We establish the asymptotic validity of the bootstrap-based IVX estimator proposed by Phillips and Magdalinos (2009) for the predictive regression model parameter based on a local-to-unity specification of the autoregressive coefficient which covers both nearly nonstationary and nearly stationary processes. A mixed Gaussian limit distribution is obtained for the bootstrap-based IVX estimator. The statistical validity of the theoretical results are illustrated by Monte Carlo experiments for various statistical inference problems.

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