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Bootstrap Hypothesis Testing

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  • James G. MacKinnon

    ()
    (Queen's University)

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://qed.econ.queensu.ca/working_papers/papers/qed_wp_1127.pdf
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Bibliographic 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
Date of revision:
Handle: RePEc:qed:wpaper:1127

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

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References

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  2. Del Hoyo, Juan & Llorente, Guillermo & Rivero, Carlos, 2011. "Consumo de electricidad y producto interior bruto: Relación dinámica y estabilidad/Electricity Consumption and GDP: Dynamic Relationship and Stability," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 473-492, Agosto.
  3. Huber, Martin & Mellace, Giovanni, 2011. "Testing instrument validity for LATE identification based on inequality moment constraints," Economics Working Paper Series 1143, University of St. Gallen, School of Economics and Political Science.
  4. A. Yasemin Yalta, 2011. "New Evidence on FDI-Led Growth: The Case of China," Working Papers, TOBB University of Economics and Technology, Department of Economics 1107, TOBB University of Economics and Technology, Department of Economics.
  5. A. Talha Yalta, 2011. "Analyzing Energy Consumption and GDP Nexus Using Maximum Entropy Bootstrap: The Case of Turkey," Working Papers, TOBB University of Economics and Technology, Department of Economics 1103, TOBB University of Economics and Technology, Department of Economics.
  6. Christopher J. Bennett, 2009. "p-Value Adjustments for Asymptotic Control of the Generalized Familywise Error Rate," Vanderbilt University Department of Economics Working Papers 0905, Vanderbilt University Department of Economics.
  7. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "Hypothesis Testing in Econometrics," Annual Review of Economics, Annual Reviews, Annual Reviews, vol. 2(1), pages 75-104, 09.
  8. Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.

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