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A robust bootstrap test under heteroskedasticity

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  • Lamarche, Jean-Francois

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 79 (2003)
Issue (Month): 3 (June)
Pages: 353-359

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Handle: RePEc:eee:ecolet:v:79:y:2003:i:3:p:353-359

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Web page: http://www.elsevier.com/locate/ecolet

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  1. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
  2. Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics.
  3. Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," STICERD - Distributional Analysis Research Programme Papers 58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  4. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  5. repec:fth:louvco:9924 is not listed on IDEAS
  6. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  7. FLACHAIRE, Emmanuel, 1999. "A better way to bootstrap pairs," CORE Discussion Papers 1999024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. DAVIDSON, Russel & MACKINNON, James G., . "Heteroskedastcity-robust tests in regressions directions," CORE Discussion Papers RP -678, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  10. MacKinnon, J G, 1989. "Heteroskedasticity-Robust Tests for Structural Change," Empirical Economics, Springer, vol. 14(2), pages 77-92.
  11. Chesher, Andrew & Austin, Gerard, 1991. "The finite-sample distributions of heteroskedasticity robust Wald statistics," Journal of Econometrics, Elsevier, vol. 47(1), pages 153-173, January.
  12. Russell Davidson & Emmanuel Flachaire, 2001. "The wild bootstrap, tamed at last," LSE Research Online Documents on Economics 6560, London School of Economics and Political Science, LSE Library.
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