Kybernetika 39 no. 1, 1-12, 2003

Wild bootstrap in RCA(1) model

Zuzana Prášková

Abstract:

In the paper, a heteroskedastic autoregressive process of the first order is considered where the autoregressive parameter is random and errors are allowed to be non-identically distributed. Wild bootstrap procedure to approximate the distribution of the least-squares estimator of the mean of the random parameter is proposed as an alternative to the approximation based on asymptotic normality, and consistency of this procedure is established.