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Bootstrap Testing in Nonlinear Models

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Author Info
Davidson, Russell
MacKinnon, James G

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Abstract

Bootstrap testing of nonlinear models normally requires at least one nonlinear estimation for every bootstrap sample. We show how to reduce computational costs by performing only a fixed, small number of Newton or quasi-Newton steps for each bootstrap sample. The number of steps is smaller for likelihood ratio tests than for other types of classical tests and smaller for Newton's method than for quasi-Newton methods. The suggested procedures are applied to tests of slope coefficients in the Tobit model and to tests of common factor restrictions. In both cases, bootstrap tests work well, and very few steps are needed. Copyright 1999 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 40 (1999)
Issue (Month): 2 (May)
Pages: 487-508
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Handle: RePEc:ier:iecrev:v:40:y:1999:i:2:p:487-508

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  1. Russell Davidson & James G. MacKinnon, 2000. "Improving the Reliability of Bootstrap Tests," Working Papers 995, Queen's University, Department of Economics. [Downloadable!]
  2. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA. [Downloadable!]
  3. Máximo Torero & Lorena Alcazar & Eduardo Nakasone, 2007. "El suministro de servicios públicos y bienestar social para los pobres. Aprendizaje de la privatización incompleta del sector eléctrico en Perú," RES Working Papers 3233, Inter-American Development Bank, Research Department. [Downloadable!]
  4. Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," The School of Economics Discussion Paper Series 0915, Economics, The University of Manchester. [Downloadable!]
  5. Denis Bolduc & Lynda Khalaf & Clément Yélou, 2005. "Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time," Computing in Economics and Finance 2005 48, Society for Computational Economics. [Downloadable!]
  6. Russell Davidson & James G. MacKinnon, 2006. "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap," Working Papers 1044, Queen's University, Department of Economics. [Downloadable!]
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  7. Hiroyuki Kasahara & Katsumi Shimotsu, 2006. "Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models," Working Papers 1063, Queen's University, Department of Economics. [Downloadable!]
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  8. M. Ooms & J.A. Doornik, 1999. "Inference and forecasting for fractional autoregressive integrated moving average models; with an application to US and UK inflation," Econometric Institute Report 171, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  9. Aaron Mehrotra & Tuomas Peltonen & Alvaro Santos Rivera, 2007. "Modelling inflation in China - a regional perspective," Working Paper Series 829, European Central Bank. [Downloadable!]
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  10. Silvia Goncalves & Halbert White, 2000. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," University of California at San Diego, Economics Working Paper Series 2000-32, Department of Economics, UC San Diego. [Downloadable!]
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  11. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics. [Downloadable!]
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  12. Martin Browning & Jens Bonke, 2006. "Allocation within the household: direct survey evidence," Economics Series Working Papers 286, University of Oxford, Department of Economics. [Downloadable!]
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  13. Máximo Torero & Lorena Alcazar & Eduardo Nakasone, 2007. "Provision of Public Services and Welfare of the Poor: Learning from an Incomplete Electricity Privatization Process in Rural Peru," RES Working Papers 3232, Inter-American Development Bank, Research Department. [Downloadable!]
  14. J. G. Hirschberg, J. N. Lye & D. J. Slottje, 2008. "Confidence Intervals for Estimates of Elasticities," Department of Economics - Working Papers Series 1053, The University of Melbourne. [Downloadable!]
  15. Jason Allen & Allan W. Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Papers 08-18, Bank of Canada. [Downloadable!]
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  16. Jean-Marie Dufour & Lynda Khalaf, 2000. "Simulation Based Finite and Large Sample Tests in Multivariate Regressions," CIRANO Working Papers 2000s-15, CIRANO. [Downloadable!]
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  17. Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics. [Downloadable!]
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