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The Wild Bootstrap, Tamed at Last

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Author Info
Russell Davidson (GREQAM and Queen's University)
Emmanuel Flachaire (GREQAM)

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Abstract

In this paper we are interested in inference based on heteroskedasticity consistent covariance matrix estimators, for which the appropriate bootstrap is a version of the wild bootstrap. Simulation results, obtained by a new very efficient method, show that all wild bootstrap tests exhibit substantial size distortion if the error terms are skewed and strongly heteroskedastic. The distortion is however less, sometimes much less, if one uses a version of the wild bootstrap, belonging to a class we call ``tamed'', which benefit from an asymptotic refinement related to the asymptotic independence of the bootstrapped test statistic and the bootstrap DGP. This version always gives better results than the version usually recommended in the literature, and gives exact results for some specific cases. However, when exact results are not available, we find that the rate of convergence to zero of the size distortion of wild bootstrap tests is not very rapid: in some cases, significant size distortion still remains for samples of size~100.

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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1413.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:1413

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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.:
  1. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 66(1), pages 1-26, January.
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  2. Flachaire, Emmanuel, 1999. "A better way to bootstrap pairs," Economics Letters, Elsevier, vol. 64(3), pages 257-262, September. [Downloadable!] (restricted)
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  3. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June. [Downloadable!]
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  4. 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. [Downloadable!] (restricted)
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  5. 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. [Downloadable!] (restricted)
  6. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Jamie Emerson & Chihwa Kao, 2005. "Bootstrapping and hypothesis testing in non-stationary panel data," Applied Economics Letters, Taylor and Francis Journals, vol. 12(5), pages 313-318, April. [Downloadable!] (restricted)
  2. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2007. "Bootstrap-Based Improvements for Inference with Clustered Errors," NBER Technical Working Papers 0344, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Olivier Armantier, 2006. "Estimates of Own Lethal Risks and Anchoring Effects," CIRANO Working Papers 2006s-14, CIRANO. [Downloadable!]
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  4. Peter Pope & David Peel & Mark Clatworthy, 2006. "Are analysts’ loss functions asymmetric?," Working Papers 003094, Lancaster University Management School, Economics Department. [Downloadable!]
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  5. James G. MacKinnon, 2006. "Bootstrap Methods in Econometrics," Working Papers 1028, Queen's University, Department of Economics. [Downloadable!]
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  6. Lutz Kilian & Silvia Goncalves, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank. [Downloadable!]
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  7. David Peel & Ivan Paya, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 002391, Lancaster University Management School, Economics Department. [Downloadable!]
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  8. Stan Hurn, 2004. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings 348, Econometric Society. [Downloadable!]
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  9. Kenneth W. Clements & H.Y Izan & Yihui Lan, 2005. "A Stochastic Measure of International Competitiveness," Economics Discussion / Working Papers 05-15, The University of Western Australia, Department of Economics. [Downloadable!]
  10. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics. [Downloadable!]
  11. Bruno Tinel, 2004. "Que reste-t-il de la contribution d'Alchian et Demsetz à la théorie de l'entreprise ?," Post-Print halshs-00270895_v1, HAL. [Downloadable!]
  12. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  13. E Fe-Rodriguez & C D Orme, 2005. "The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics," The School of Economics Discussion Paper Series 0504, Economics, The University of Manchester. [Downloadable!]
  14. Adrian Pagan & Hashem Pesaran, 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research. [Downloadable!]
  15. Andrea, SILVESTRINI, 2007. "Testing fiscal sustainability in Poland : a Bayesian analysis of cointegration," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2007040, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
  16. Emmanuel Flachaire, 2005. "Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue," Post-Print halshs-00175905_v1, HAL. [Downloadable!]
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  17. Russell Davidson & James G. MacKinnon, 2008. "Wild Bootstrap Tests for IV Regression," Working Papers 1135, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
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