The wild bootstrap, tamed at last

被引：245

作者：

Davidson, Russell ^{[1
,2
]}

Flachaire, Emmanuel ^{[3
]}

机构：

[1] McGill Univ, Dept Econ, Montreal, PQ H3A 2T7, Canada

[2] Ctr Vieille Charite, GREQAM, F-13236 Marseille 02, France

[3] Univ Paris 01, Paris Sch Econ, F-75013 Paris, France

来源：

JOURNAL OF ECONOMETRICS | 2008年 / 146卷 / 01期

关键词：

Wild bootstrap; Heteroskedasticity; Bootstrap inference;

D O I：

10.1016/j.jeconom.2008.08.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The wild bootstrap is studied in the context of regression models with heteroskedastic disturbances. We show that, in one very specific case, perfect bootstrap inference is possible, and a substantial reduction in the error in the rejection probability of a bootstrap test is available much more generally. However, the version of the wild bootstrap with this desirable property is without the skewness correction afforded by the currently most popular version of the wild bootstrap. Simulation experiments show that this does not prevent the preferred version from having the smallest error in rejection probability in small and medium-sized samples. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：162 / 169

页数：8

共 18 条

[1]

[Anonymous], 1000 QUEENS U QUEENS

[2] PREPIVOTING TEST STATISTICS - A BOOTSTRAP VIEW OF ASYMPTOTIC REFINEMENTS [J].

BERAN, R .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1988, 83 (403) :687-697

[3]

BERAN R, 1986, ANN STAT, V14, P1295, DOI 10.1214/aos/1176350143

[4] VALIDITY OF FORMAL EDGEWORTH EXPANSION [J].

BHATTACHARYA, RN ;

GHOSH, JK .

ANNALS OF STATISTICS, 1978, 6 (02) :434-451

[5] THE BIAS OF A HETEROSKEDASTICITY CONSISTENT COVARIANCE-MATRIX ESTIMATOR [J].

CHESHER, A ;

JEWITT, I .

ECONOMETRICA, 1987, 55 (05) :1217-1222

[6]

Davidson R, 1999, ECONOMET THEOR, V15, P361

[7] Graphical methods for investigating the size and power of hypothesis tests [J].

Davidson, R ;

MacKinnon, JG .

MANCHESTER SCHOOL, 1998, 66 (01) :1-26

[8] ASYMPTOTIC NORMALITY AND CONSISTENCY OF LAEAST SQUARES ESTIMATORS FOR FAMILIES OF LINAR REGRESSIONS [J].

EICKER, F .

ANNALS OF MATHEMATICAL STATISTICS, 1963, 34 (02) :447-&

[9]

Feller W., 1971, An introduction to probability theory and its applications

[10] A better way to bootstrap pairs [J].

Flachaire, E .

ECONOMICS LETTERS, 1999, 64 (03) :257-262

← 1 2 →