THE LOCAL PROJECTION RESIDUAL BOOTSTRAP FOR AR(1) MODELS
提出一种基于局部投影的残差自助法，为AR(1)模型的脉冲响应系数构建置信区间，适用于含单位根、条件异方差和鞅差冲击的模型，并证明其一致性和渐近有效性。
This article proposes a local projection (LP) residual bootstrap method to construct confidence intervals for impulse response coefficients of AR(1) models. Our bootstrap method is based on the LP approach and involves a residual bootstrap procedure applied to AR(1) models. We present theoretical results for our bootstrap method and proposed confidence intervals. First, we prove the uniform consistency of the LP-residual bootstrap over a large class of AR(1) models that allow for a unit root, conditional heteroskedasticity of unknown form, and martingale difference shocks. Then, we prove the asymptotic validity of our confidence intervals over the same class of AR(1) models. Finally, we show that the LP-residual bootstrap provides asymptotic refinements for confidence intervals on a restricted class of AR(1) models relative to those required for the uniform consistency of our bootstrap.