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Bootstrap Methods and Applications in Econometrics - A Brief Survey

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Author Info

  • Bergström, Pål

    (Trade and Capital Markets)

Abstract

This paper provides a brief survey of the bootstrap and its use in econometrics. As an introduction, the paper gives a description of the basics of the method, with a special emphasis on boostrap testing. A fairly large amount of space is devoted to discuss why bootstrap tests provide refinements compared to equivalent asymptotic tests. A series of recent different applications in the econometrics literature is then surveyed, in order to give a picture of this rapidly evolving research field.

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File URL: http://www.nek.uu.se/pdf/1999wp2.pdf
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Bibliographic Info

Paper provided by Uppsala University, Department of Economics in its series Working Paper Series with number 1999:2.

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Length: 27 pages
Date of creation: 10 Jan 1999
Date of revision:
Handle: RePEc:hhs:uunewp:1999_002

Contact details of provider:
Postal: Department of Economics, Uppsala University, P. O. Box 513, SE-751 20 Uppsala, Sweden
Phone: + 46 18 471 25 00
Fax: + 46 18 471 14 78
Email:
Web page: http://www.nek.uu.se/
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Related research

Keywords: Bootstrap; Sample Reuse Methods; Simulation Methods;

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References

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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.:
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  1. repec:wop:humbsf:1996-44 is not listed on IDEAS
  2. Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
  3. Harris, R I D, 1992. "Small Sample Testing for Unit Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(4), pages 615-25, November.
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  5. Mackinnon, J.G. & Smith, A.A., 1996. "Approximate Bias Correction in Econometrics," G.R.E.Q.A.M. 96a14, Universite Aix-Marseille III.
  6. Bergström, Pål & Lindberg, Sara, 1998. "Firms' Financial Policy and Labour Demand: Theory and Evidence," Working Paper Series 1998:18, Uppsala University, Department of Economics.
  7. Li, Hongyi & Maddala, G. S., 1997. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October.
  8. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
  9. Horowitz, J.L., 1996. "Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator," Working Papers 96-02, University of Iowa, Department of Economics.
  10. Bergström, Pål & Dahlberg, Matz & Johansson, Eva, 1997. "GMM Bootstrapping and Testing in Dynamic Panels," Working Paper Series 1997:10, Uppsala University, Department of Economics.
  11. Atkinson, Scott E. & Wilson, Paul W., 1992. "The Bias of Bootstrapped Versus Conventional Standard Errors in the General Linear and SUR Models," Econometric Theory, Cambridge University Press, vol. 8(02), pages 258-275, June.
  12. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
  13. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
  14. Matz Dahlberg & Eva Johansson, 2000. "An examination of the dynamic behaviour of local governments using GMM bootstrapping methods," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 401-416.
  15. Harris, R. I. D. & Judge, G., 1998. "Small sample testing for cointegration using the bootstrap approach," Economics Letters, Elsevier, vol. 58(1), pages 31-37, January.
  16. Bergstrom, P., 1997. "On Bootstrap Standard Errors in Dynamic Panel Data Models ," Papers 1997-23, Uppsala - Working Paper Series.
  17. Rilstone, Paul & Veall, Michael, 1996. "Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations," Econometric Theory, Cambridge University Press, vol. 12(03), pages 569-580, August.
  18. J. Horowitz, 1996. "Bootstrap Critical Values For Tests Based On The Smoothed Maximum Score Estimator," SFB 373 Discussion Papers 1996,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  19. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  20. 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.
  21. Joel L. Horowitz, 1996. "Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator," Econometrics 9603003, EconWPA.
  22. repec:cup:etheor:v:8:y:1992:i:2:p:258-75 is not listed on IDEAS
  23. Wong, Ka-fu, 1996. "Bootstrapping Hausman's exogeneity test," Economics Letters, Elsevier, vol. 53(2), pages 139-143, November.
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Citations

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Cited by:
  1. Hugosson, Muriel Beser, 2005. "Quantifying uncertainties in a national forecasting model," Transportation Research Part A: Policy and Practice, Elsevier, vol. 39(6), pages 531-547, July.
  2. Stan Hurn & Ralf Becker, 2006. "Testing for nonlinearity in mean in the presence of heteroskedasticity," Stan Hurn Discussion Papers 2006-02, School of Economics and Finance, Queensland University of Technology.
  3. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research.

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