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Improved Nonparametric Confidence Intervals in Time Series Regressions


Romano, Joseph P; Wolf, Michael (2006). Improved Nonparametric Confidence Intervals in Time Series Regressions. Working paper series / Institute for Empirical Research in Economics No. 273, University of Zurich.

Abstract

Confidence intervals in econometric time series regressions suffer from notorious coveragenproblems. This is especially true when the dependence in the data is noticeable andnsample sizes are small to moderate, as is often the case in empirical studies. This papernsuggests using the studentized block bootstrap and discusses practical issues, such as thenchoice of the block size. A particular data-dependent method is proposed to automate the nmethod. As a side note, it is pointed out that symmetric confidence intervals are preferred over equal-tailed ones, since they exhibit improved coverage accuracy. The improvements in small sample performance are supported by a simulation study.

Abstract

Confidence intervals in econometric time series regressions suffer from notorious coveragenproblems. This is especially true when the dependence in the data is noticeable andnsample sizes are small to moderate, as is often the case in empirical studies. This papernsuggests using the studentized block bootstrap and discusses practical issues, such as thenchoice of the block size. A particular data-dependent method is proposed to automate the nmethod. As a side note, it is pointed out that symmetric confidence intervals are preferred over equal-tailed ones, since they exhibit improved coverage accuracy. The improvements in small sample performance are supported by a simulation study.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
Dewey Decimal Classification:330 Economics
Language:English
Date:February 2006
Deposited On:29 Nov 2011 22:47
Last Modified:12 Aug 2017 13:01
Series Name:Working paper series / Institute for Empirical Research in Economics
ISSN:1424-0459
Official URL:http://www.econ.uzh.ch/wp.html

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