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Bootstrap Hypothesis Testing

Author

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  • James G. MacKinnon

    (Queen's University)

Abstract

This paper surveys bootstrap and Monte Carlo methods for testing hypothesesin econometrics. Several different ways of computing bootstrap P valuesare discussed, including the double bootstrap and the fast double bootstrap.It is emphasized that there are many different procedures for generatingbootstrap samples for regression models and other types of model. As anillustration, a simulation experiment examines the performance of severalmethods of bootstrapping the supF test for structural change with an unknownbreak point.

Suggested Citation

  • James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Paper 1127, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:1127
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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1127.pdf
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    References listed on IDEAS

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    6. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "Hypothesis Testing in Econometrics," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 75-104, September.
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    8. Stephanie Thomas, 2016. "A Standardized Method for the Evaluation of Adherence to Practice Guidelines," Department of Economics Working Papers 2016-14, McMaster University.
    9. Yalta, A. Talha, 2011. "Analyzing energy consumption and GDP nexus using maximum entropy bootstrap: The case of Turkey," Energy Economics, Elsevier, vol. 33(3), pages 453-460, May.
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    11. A. Yasemin Yalta, 2011. "New Evidence on FDI-Led Growth: The Case of China," Working Papers 1107, TOBB University of Economics and Technology, Department of Economics.
    12. Christopher J. Bennett, 2009. "Consistent and Asymptotically Unbiased MinP Tests of Multiple Inequality Moment Restrictions," Vanderbilt University Department of Economics Working Papers 0908, Vanderbilt University Department of Economics.
    13. Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M. M, 2021. "The expected time to cross a threshold and its determinants: a simple and flexible framework," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
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    15. Martin Huber & Giovanni Mellace, 2015. "Testing Instrument Validity for LATE Identification Based on Inequality Moment Constraints," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 398-411, May.

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    More about this item

    Keywords

    bootstrap test; supF test; wild bootstrap; pairs bootstrap; moving block bootstrap; residual bootstrap; bootstrap P value;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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