The Wild Bootstrap, Tamed at Last

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The Wild Bootstrap, Tamed at Last

Author Info

Davidson, R.
Flachaire, E.

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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 methos, show that all wild bootstraps tests exhibit substantial size distortion if the error terms are skewed and strongly heteroskedastic.

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Publisher Info
Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 99a32.

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Length: 38 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:aixmeq:99a32

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Other versions of this item:

Article
- Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September. [Downloadable!] (restricted)
Paper
- Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics. [Downloadable!]
- Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society. [Downloadable!]
- 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. [Downloadable!]

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

References listed on IDEAS
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.:

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.
Other versions:
- Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics. [Downloadable!]
Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996. [Downloadable!]
Flachaire, Emmanuel, 1999. "A better way to bootstrap pairs," Economics Letters, Elsevier, vol. 64(3), pages 257-262, September. [Downloadable!] (restricted)
Other versions:
- Emmanuel Flachaire, 1999. "A better way to bootstrap pairs," Post-Print halshs-00175892_v1, HAL. [Downloadable!]
- FLACHAIRE, Emmanuel, 1999. "A better way to bootstrap pairs," CORE Discussion Papers 1999024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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)
Other versions:
- James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics. [Downloadable!]
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!]
Other versions:
- Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
- Russell Davidson & James G. MacKinnon, 1996. "The Size Distortion of Bootstrap Tests," Working Papers 936, Queen's University, Department of Economics. [Downloadable!]
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)
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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