Geodesic
Bootstrap in nonstationary autoregression
Kybernetika, Tome 38 (2002) no. 4, p. [389].

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The first-order autoregression model with heteroskedastic innovations is considered and it is shown that the classical bootstrap procedure based on estimated residuals fails for the least-squares estimator of the autoregression coefficient. A different procedure called wild bootstrap, respectively its modification is considered and its consistency in the strong sense is established under very mild moment conditions.
Classification : 62F40, 62G09, 62M10 
@article{KYB_2002__38_4_a0,
     author = {Pr\'a\v{s}kov\'a, Zuzana},
     title = {Bootstrap in nonstationary autoregression},
     journal = {Kybernetika},
     pages = {[389]},
     publisher = {mathdoc},
     volume = {38},
     number = {4},
     year = {2002},
     mrnumber = {1937136},
     zbl = {1264.62072},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2002__38_4_a0/}
}
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Prášková, Zuzana. Bootstrap in nonstationary autoregression. Kybernetika, Tome 38 (2002) no. 4, p. [389]. http://geodesic.mathdoc.fr/item/KYB_2002__38_4_a0/