Higher-order Improvements of the Parametric Bootstrap for Markov Processes

@inproceedings{Andrews2001HigherorderIO,
  title={Higher-order Improvements of the Parametric Bootstrap for Markov Processes},
  author={Donald W. K. Andrews},
  year={2001}
}
This paper provides bounds on the errors in coverage probabilities of maximum likelihood-based, percentile-t, parametric bootstrap conÞdence intervals for Markov time series processes. These bounds show that the parametric bootstrap for Markov time series provides higher-order improvements (over conÞdence intervals based on Þrst order asymptotics) that are comparable to those obtained by the parametric and nonparametric bootstrap for iid data and are better than those obtained by the block… CONTINUE READING