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Bootstrap Hypothesis Testing

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Author Info
James G. MacKinnon () (Queen's University)

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Abstract

This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that there are many different procedures for generating bootstrap samples for regression models and other types of model. As an illustration, a simulation experiment examines the performance of several methods of bootstrapping the supF test for structural change with an unknown break point.

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File URL: http://www.econ.queensu.ca/working_papers/papers/qed_wp_1127.pdf
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Publisher Info
Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1127.

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Length: 35 pages
Date of creation: Jun 2007
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Handle: RePEc:qed:wpaper:1127

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Related research
Keywords: bootstrap test; supF test; wild bootstrap; pairs bootstrap; moving block bootstrap; residual bootstrap; bootstrap P value;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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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.:
  1. Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 115-143, January. [Downloadable!] (restricted)
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  3. Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier. [Downloadable!] (restricted)
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  5. Patrick Richard, 2007. "Sieve bootstrap unit root tests," Cahiers de recherche 07-05, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke. [Downloadable!]
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  7. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2007. "Bootstrap-Based Improvements for Inference with Clustered Errors," NBER Technical Working Papers 0344, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. JAMES G. M acKINNON, 2006. "Bootstrap Methods in Econometrics," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages S2-S18, 09. [Downloadable!] (restricted)
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  9. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  10. Davidson, R. & Flachaire, E., 1999. "The Wild Bootstrap, Tamed at Last," G.R.E.Q.A.M. 99a32, Universite Aix-Marseille III.
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  11. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July. [Downloadable!] (restricted)
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  12. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, vol. 85(2), pages 205-230, August. [Downloadable!] (restricted)
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  13. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June. [Downloadable!]
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  14. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May. [Downloadable!] (restricted)
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  15. Russell Davidson & James G. MacKinnon, 2006. "Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables," Working Papers 1024, Queen's University, Department of Economics. [Downloadable!]
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  16. Efstathios Paparoditis & Dimitris N. Politis, 2003. "Residual-Based Block Bootstrap for Unit Root Testing," Econometrica, Econometric Society, vol. 71(3), pages 813-855, 05. [Downloadable!] (restricted)
  17. Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April. [Downloadable!] (restricted)
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  18. Jeff Racine & James G. MacKinnon, 2006. "Inference via kernel smoothing of bootstrap P values," Working Papers 1054, Queen's University, Department of Economics. [Downloadable!]
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  19. Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(4), pages 379-400, 07. [Downloadable!] (restricted)
  20. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December. [Downloadable!] (restricted)
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  21. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May. [Downloadable!] (restricted)
  22. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor and Francis Journals, vol. 19(1), pages 55-68. [Downloadable!] (restricted)
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  23. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
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  24. King, Maxwell L., 1985. "A point optimal test for autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 27(1), pages 21-37, January. [Downloadable!] (restricted)
  25. Davidson, Russell & MacKinnon, James G., 2006. "The power of bootstrap and asymptotic tests," Journal of Econometrics, Elsevier, vol. 133(2), pages 421-441, August. [Downloadable!] (restricted)
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  26. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
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  27. Donald W. K. Andrews, 2004. "the Block-Block Bootstrap: Improved Asymptotic Refinements," Econometrica, Econometric Society, vol. 72(3), pages 673-700, 05. [Downloadable!] (restricted)
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  28. Alberto Abadie & Guido W. Imbens, 2006. "On the Failure of the Bootstrap for Matching Estimators," NBER Technical Working Papers 0325, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  29. Joon Y. Park, 2003. "Bootstrap Unit Root Tests," Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November. [Downloadable!] (restricted)
  30. Jeff Racine & James G. MacKinnon, 2004. "Simulation-based Tests that Can Use Any Number of Simulations," Working Papers 1027, Queen's University, Department of Economics. [Downloadable!]
  31. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 419-429. [Downloadable!] (restricted)
  32. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November. [Downloadable!] (restricted)
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  35. Sílvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO. [Downloadable!]
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  36. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
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Full references

Cited by:
(explanations, 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.)

  1. Christopher J. Bennett, 2009. "p-Value Adjustments for Asymptotic Control of the Generalized Familywise Error Rate," Working Papers 0905, Department of Economics, Vanderbilt University. [Downloadable!]
  2. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009. "Hypothesis testing in econometrics," IEW - Working Papers iewwp444, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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