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Les methodes du bootstrap dans les modeles de regression

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  • Flachaire, E.

Abstract

Dans la pratique, la plupart des statistiques de test ont une distribution de probabilite de forme inconnue. Generalement, on utilise leur loi asymptotique comme approximation de la vraie loi. Mais, si l'echelon dont on dispose n'est pas de taille suffisante cette approximation peut etre de mauvaise qualite et les test bases dessus largement biaises.

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Bibliographic Info

Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 99c10.

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Length: 20 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:aixmeq:99c10

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Keywords: ANALYSE DE REGRESSION ; MODELES ECONOMIQUES ; ECONOMETRIE;

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References

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  1. repec:fth:louvco:9924 is not listed on IDEAS
  2. Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
  3. Russell Davidson & James G. MacKinnon, 1984. "Implicit Alternatives and the Local Power of Test Statistics," Working Papers 556, Queen's University, Department of Economics.
  4. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  5. FLACHAIRE, Emmanuel, 1999. "A better way to bootstrap pairs," CORE Discussion Papers 1999024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  7. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Universite de Montreal, Departement de sciences economiques.
  8. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
  9. 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.
  10. Freedman, David A & Peters, Stephen C, 1984. "Bootstrapping an Econometric Model: Some Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(2), pages 150-58, April.
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Cited by:
  1. Evguenia Iankova & Florent Pochon & Jérôme Teïletche, 2009. "L’impact des décisions des agences de notation sur le prix des actions : une comparaison du cas français avec les cas européen et américain," Économie et Prévision, Programme National Persée, vol. 188(2), pages 1-21.
  2. Cédric Audenis & Corinne Prost, 2003. "Finances publiques et cycle économique : une autre approche," Économie et Prévision, Programme National Persée, vol. 157(1), pages 1-12.

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