Distinguished Speaker Seminar: Russell Davidson

Title: Diagnostics for the Bootstrap and Fast Double Bootstrap

2014.01.20 | Solveig Nygaard Sørensen

Date Thu 26 Feb
Time 14:15 15:15
Location Fuglesangs Allé 4, 8210 Aarhus V, building 2624, Auditorium E2

The bootstrap is typically much less reliable in the context of time-series models with serial correlation of unknown form than it is when regularity conditions for the conventional IID bootstrap, based on resampling, apply. It is therefore useful for practitioners to have available diagnostic techniques capable of evaluating bootstrap performance in specific cases. The techniques suggested in this paper are closely related to the fast double bootstrap, and, although they inevitably rely on simulation, they are not computationally intensive.

They can also be used to gauge the performance of the fast double bootstrap itself. Examples of bootstrap-ping time series are presented which illustrate the diagnostic procedures, and show how the results can cast light on bootstrap performance, not only in the time-series context.

Russell Davidson holds a Canada Research Chair in Economics at McGill University in Montreal, Canada. He is a Fellow of the Econometric Society, the Royal Society of Canada, and of the Journal of Econometrics. He is currently President of the Canadian Economics Association.

The lecture is video recorded and will be available at the CREATES podcast archive.

Everyone is welcome to participate in the Distinguished Speaker Seminar Series.

After the lecture there will be a reception.

Organized by CREATES

Distinguished Speaker Seminar Series