Weak consistent moving block bootstrap estimator for the variance of CLS estimators in a class of bilinear models
MetadataShow full item record
Grahn (1995) introduced the Conditional Least Squares estimators for the class (I) of bilinear models. These estimators have a variance which is difficulty to derive analytically. In this paper we derive the conditions for the Moving Block Bootstrap estimator of the variance and we show its weak consistency.