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The Wild Bootstrap, Tamed at Last Author info | Abstract | Publisher info | Download info | Related research | Statistics Russell Davidson () (Department of Economics, Queen's University and GREQAM)
Emmanuel Flachaire () (STICERD, London School of Economics)
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Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. We develop formal Edgeworth expansions for the error in the rejection probability (ERP) of wild bootstrap tests based on asymptotic t statistics computed with a heteroskedasticity consistent covariance matrix estimator. Particular interest centers on the choice of the auxiliary distribution used by the wild bootstrap in order to generate bootstrap error terms. We find that the Rademacher distribution usually gives smaller ERPs, in small samples, than the version of the wild bootstrap that seems most popular in the literature, even though it does not benefit from the latter's skewness correction. This conclusion, based on Edgeworth expansions, is confirmed by a series of simulation experiments. We conclude that a particular version of the wild bootstrap is to be preferred in almost all practical situations, and we show analytically that it, and no other version, gives perfect inference in a special case.
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Paper provided by Queen's University, Department of Economics in its series Working Papers with number
1000.
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Length: 34 pages
Date of creation: Oct 2001Date of revision:
Handle: RePEc:qed:wpaper:1000Contact details of provider: Postal: Kingston, Ontario, K7L 3N6 Phone: (613) 533-2250 Fax: (613) 533-6668 Email: Web page: http://www.econ.queensu.ca/ More information through EDIRC
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Keywords: Wild Bootstrap Heteroskedasticity Consistent Covariance Matrix Estimators Size distortion Other versions of this item:
Paper Russell Davidson & Emmanuel Flachaire, 2000.
"The Wild Bootstrap, Tamed at Last ,"
Econometric Society World Congress 2000 Contributed Papers
1413, Econometric Society.
[Downloadable!] 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.
[Downloadable!] Davidson, R. & Flachaire, E., 1999.
"The Wild Bootstrap, Tamed at Last ,"
G.R.E.Q.A.M.
99a32, Universite Aix-Marseille III.
Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
References listed on IDEAS 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.:
Davidson, Russell & MacKinnon, James G, 1998.
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"The Size Distortion Of Bootstrap Tests ,"
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"Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties ,"
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