Gonçalves, Sílvia; White, Halbert - Centre Interuniversitaire de Recherche en Analyse des … - 2002
We provide a unified framework for analyzing bootstrapped extremum estimators of nonlinear dynamic models for heterogeneous dependent stochastic processes. We apply our results to the moving blocks bootstrap of Künsch (1989) and Liu and Singh (1992) and prove the first order asymptotic validity...