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A better way to bootstrap pairs

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  • Emmanuel Flachaire

    ()
    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - CNRS : UMR6579, CORE - Université Catholique de Louvain)

Abstract

In this paper we are interested in heteroskedastic regression models, for which an appropriate bootstrap method is bootstrapping pairs, proposed by Freedman (1981). We propose an ameliorate version of it, with better numerical performance.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00175892.

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Date of creation: 1999
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Publication status: Published, Economics Letters, 1999, 64, 257-262
Handle: RePEc:hal:journl:halshs-00175892

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Keywords: bootstrap; heteroskedasticity;

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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. 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.
  3. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
  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. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
  6. Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
  7. 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.
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