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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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Related research

Keywords: ANALYSE DE REGRESSION ; MODELES ECONOMIQUES ; ECONOMETRIE;

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References

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  1. Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
  2. Emmanuel Flachaire, 1999. "A better way to bootstrap pairs," Post-Print halshs-00175892, HAL.
  3. repec:fth:louvco:9924 is not listed on IDEAS
  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. Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
  6. Russell Davidson & James G. MacKinnon, 1984. "Implicit Alternatives and the Local Power of Test Statistics," Working Papers 556, Queen's University, Department of Economics.
  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. 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.
  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. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
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