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ABSTRACT
A linear errors-in-variables (EIV) model that contains measurement errors in the input and output data is considered. Weakly dependent (α- and ϕ-mixing) errors, not necessarily stationary nor identically distributed, are taken into account within the EIV model. Parameters of the EIV model are estimated by the total least squares approach, which provides highly non linear estimates. Because of this, many statistical procedures for constructing confidence intervals and testing hypotheses cannot be applied. One possible solution to this dilemma is a block bootstrap. An appropriate moving block bootstrap procedure is provided and its correctness proved. The results are illustrated through a simulation study and applied on real data as well.
Funding
This paper was written with the support of the Czech Science Foundation project “DYME – Dynamic Models in Economics” No. P402/12/G097.