Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 2004, Volume 72, Issue 3

the Block–Block Bootstrap: Improved Asymptotic Refinements

https://doi.org/10.1111/j.1468-0262.2004.00509.x
p. 673-700

Donald W. K. Andrews

The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of the original sample. This is the join‐point problem.


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