The wild bootstrap, tamed at last
AbstractThe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 146 (2008)
Issue (Month): 1 (September)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Wild bootstrap Heteroskedasticity Bootstrap inference;
Other versions of this item:
- 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.
- Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
- 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.
- Davidson, R. & Flachaire, E., 1999. "The Wild Bootstrap, Tamed at Last," G.R.E.Q.A.M. 99a32, Universite Aix-Marseille III.
- Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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