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Les methodes du bootstrap dans les modeles de regression

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Author Info

  • 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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Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
Phone: 04.91.14.07.70
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Web page: http://www.greqam.fr/
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Keywords: ANALYSE DE REGRESSION ; MODELES ECONOMIQUES ; ECONOMETRIE;

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References

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  1. Davidson , R. & Mackinnon, J.G., 1985. "Implicit alternatives and the local power of test statistics," CORE Discussion Papers 1985025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. 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.
  3. 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.
  4. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  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. 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.
  7. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
  8. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  9. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
  10. repec:fth:louvco:9924 is not listed on IDEAS
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