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The basics of bootstrapping (in Russian)

Author

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  • Stanislav Anatolyev

    (New Economic School, Russia)

Abstract

This essay is an introduction to principles and methodology of the bootstrap. The basics of bootstrap inference, resampling and asymptotic refinement are given. The narration is accompanied with clarifying examples. There is also a brief description of other methodological essays of the current issue of Quantile and references to non-included material.

Suggested Citation

  • Stanislav Anatolyev, 2007. "The basics of bootstrapping (in Russian)," Quantile, Quantile, issue 3, pages 1-12, September.
    • Handle: RePEc:qnt:quantl:y:2007:i:3:p:1-12
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    File URL: http://quantile.ru/03/03-SA.pdf
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    References listed on IDEAS

    as
    1. Joel L. Horowitz, 1998. "Bootstrap Methods for Median Regression Models," Econometrica, Econometric Society, vol. 66(6), pages 1327-1352, November.
    2. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
    3. Joon Y. Park, 2003. "Bootstrap Unit Root Tests," Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November.
    4. Brown, Bryan W & Newey, Whitney K, 2002. "Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 507-517, October.
    5. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
    6. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    7. Michael K. Andersson & Sune Karlsson, 2001. "Bootstrapping Error Component Models," Computational Statistics, Springer, vol. 16(2), pages 221-231, July.
    8. Lutz Kilian, 1999. "Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 652-660, November.
    9. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc.
    10. Joel L. Horowitz, 2003. "Bootstrap Methods for Markov Processes," Econometrica, Econometric Society, vol. 71(4), pages 1049-1082, July.
    11. VERBRUGGEN, Aviel & KÉSENNE, Stefan & JEGERS, Marc & CUYVERS, Ludo & HEYNDELS, Bruno & VAN OURTI, Tom & WEVERBERGH, Marcel & ENGELIEN, Peter-Jan & DERIJCKE, Luc & VLOEBERGHS, Daniël, 2002. "Boekbesprekingen: VERBRUGGEN, Aviel: “The skeptical environmentalist (Bjørn LOMBORG, Cambridge University Press, 2001)” (p. 1103-104); KÉSENNE, Stefan: “The economics of art and culture (James HEILBRO," Economic and Social Journal (Economisch en Sociaal Tijdschrift), University of Antwerp, Faculty of Business and Economics, vol. 56(1), pages 103-118, Maart.
    12. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    13. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
    14. Wang, C. Y. & Wang, Suojin & Carroll, R. J., 1997. "Estimation in choice-based sampling with measurement error and bootstrap analysis," Journal of Econometrics, Elsevier, vol. 77(1), pages 65-86, March.
    15. Hansen Bruce E., 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-16, April.
    16. Hahn, Jinyong, 1995. "Bootstrapping Quantile Regression Estimators," Econometric Theory, Cambridge University Press, vol. 11(1), pages 105-121, February.
    17. Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, vol. 15(4), pages 393-403, October.
    18. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
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    Cited by:

    1. Pavel Dovbnya, 2020. "Announcements of Sanctions and the Russian Equity Market: An Event Study Approach," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 74-92, March.
    2. Parshakov, Petr, 2015. "Estimation of skill of Russian mutual fund managers," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 37(1), pages 57-66.
    3. Nazrullaeva, Eugenia, 2010. "Modeling the relationship between investment processes and costs structure applied to Russian economic activities in 2005-2009," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 19(3), pages 38-61.

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