The wild bootstrap, tamed at last

Journal of Econometrics

Volumn 146, Issue 1, 2008, Pages 162-169

  Davidson, Russell ^a,b   Flachaire, Emmanuel ^c  

^a Centre National de la Recherche Scientifique   (France)

^b MCGILL UNIVERSITY   (Canada)

^c UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Bootstrap inference; Heteroskedasticity; Wild bootstrap

Indexed keywords

FOOD PROCESSING; REGRESSION ANALYSIS;

BOOTSTRAP INFERENCE; HETEROSKEDASTICITY; REGRESSION MODELLING; REJECTION PROBABILITY; SIMULATION EXPERIMENTS; SUBSTANTIAL REDUCTIONS; WILD BOOTSTRAP; WILD BOOTSTRAPS;

PROBABILITY;

EID: 52449130310     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.08.003     Document Type: Article

References (18)

1. Beran R. Discussion of Jackknife bootstrap and other resampling methods in regression analysis by C.F.J. Wu. Annals of Statistics 14 (1986) 1295-1298
2. Beran R. Prepivoting test statistics: A bootstrap view of asymptotic refinements. Journal of the American Statistical Association 83 (1988) 687-697
3. Bhattacharya R.N., and Ghosh J.K. On the validity of the formal Edgeworth expansion. Annals of Statistics 6 (1978) 434-451
4. Chesher A., and Jewitt I. The bias of a heteroskedasticity consistent covariance matrix estimator. Econometrica 55 (1987) 1217-1222
5. Davidson, R., Flachaire, E., 2001. The wild bootstrap, tamed at last. Queen's Economics Department Working Paper #1000, Queen's University, Kingston, Canada
6. Davidson, R., MacKinnon, J.G., 1998. Graphical methods for investigating the size and power of hypothesis tests. The Manchester School 66, 1-26
7. Davidson R., and MacKinnon J.G. The size distortion of bootstrap tests. Econometric Theory 15 (1999) 361-376
8. Eicker F. Asymptotic normality and consistency of the least squares estimators for families of linear regressions. The Annals of Mathematical Statistics 34 (1963) 447-456
9. Feller W. An Introduction to Probability Theory and its Applications. second ed. (1971), Wiley, New York
10. Flachaire E. A better way to bootstrap pairs. Economics Letters 64 (1999) 257-262
11. Freedman D.A. Bootstrapping regression models. Annals of Statistics 9 (1981) 1218-1228
12. Hall P. The Bootstrap and Edgeworth Expansion (1992), Springer-Verlag, New York
13. Kolassa J.E. Series Approximations in Statistics. Lecture Notes in Statistics vol. 88 (1994), Springer-Verlag, New York
14. Liu R.Y. Bootstrap procedures under some non-I.I.D. models. Annals of Statistics 16 (1988) 1696-1708
15. MacKinnon J.G., and White H. Some heteroskedasticity consistent covariance matrix estimators with improved finite sample properties. Journal of Econometrics 29 (1985) 305-325
16. Mammen E. Bootstrap and wild bootstrap for high dimensional linear models. Annals of Statistics 21 (1993) 255-285
17. White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48 (1980) 817-838
18. Wu C.F.J. Jackknife bootstrap and other resampling methods in regression analysis. Annals of Statistics 14 (1986) 1261-1295