Implementing the wild bootstrap using a two-point distribution

被引：28

作者：

Davidson, James ^{[1
]}

Monticini, Andrea

Peel, David

机构：

[1] Univ Exeter, Sch Business & Econ, Exeter EX4 4PU, Devon, England

[2] Univ Lancaster, Lancaster LA1 4YW, England

来源：

ECONOMICS LETTERS | 2007年 / 96卷 / 03期

关键词：

wild bootstrap; two-point distribution; heteroscedasticity; skewness;

D O I：

10.1016/j.econlet.2007.01.020

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider how to select the auxiliary distribution to implement the wild bootstrap for regressions featuring heteroscedasticity of unknown form. We propose a new class of two-point distributions and suggest using the Kolmogorov-Smimov statistic as a selection criterion. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：309 / 315

页数：7

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