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Citations for "The Wild Bootstrap, Tamed at Last"

by Russell Davidson & Emmanuel Flachaire

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  1. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  2. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
  3. Kline, Patrick & Santos, Andres, 2012. "Higher order properties of the wild bootstrap under misspecification," Journal of Econometrics, Elsevier, vol. 171(1), pages 54-70.
  4. Emmanuel Flachaire, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175910, HAL.
  5. Favero, Carlo A. & Gozluklu, Arie & Tamoni, Andrea, 2010. "Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns," CEPR Discussion Papers 7734, C.E.P.R. Discussion Papers.
  6. Jamel Jouini, 2010. "Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration," Statistical Papers, Springer, vol. 51(1), pages 85-109, January.
  7. Kuan-Pin Lin & Zhi-He Long & Bianling Ou, 2011. "The Size and Power of Bootstrap Tests for Spatial Dependence in a Linear Regression Model," Computational Economics, Society for Computational Economics, vol. 38(2), pages 153-171, August.
  8. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  9. Amélie Charles & Olivier Darne, 2009. "The efficiency of the crude oil markets: Evidence from variance ratio tests," Post-Print hal-00771081, HAL.
  10. Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011. "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 27(05), pages 957-991, October.
  11. Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity-Robust F-Test Statistic for Individual Effects," The School of Economics Discussion Paper Series, Economics, The University of Manchester 1124, Economics, The University of Manchester.
  12. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
  13. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2008. "Bootstrap-Based Improvements for Inference with Clustered Errors," The Review of Economics and Statistics, MIT Press, vol. 90(3), pages 414-427, August.
  14. Olivier Armantier, 2006. "Estimates of Own Lethal Risks and Anchoring Effects," CIRANO Working Papers 2006s-14, CIRANO.
  15. Lamarche, Jean-Francois, 2003. "A robust bootstrap test under heteroskedasticity," Economics Letters, Elsevier, vol. 79(3), pages 353-359, June.
  16. Stan Hurn & Ralf Becker, 2009. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 39(2), pages 311-326, September.
  17. Sílvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO.
  18. Massimo Bordignon & Andrea Monticini, 2011. "The importance of electoral rule: Evidence from Italy," DISCE - Quaderni dell'Istituto di Economia e Finanza ief0099, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  19. Herwartz, Helmut & Xu, Fang, 2007. "A new approach to bootstrap inference in functional coefficient models," Economics Working Papers 2007,15, Christian-Albrechts-University of Kiel, Department of Economics.
  20. Kenneth W. Clements & H.Y Izan & Yihui Lan, 2005. "A Stochastic Measure of International Competitiveness," Economics Discussion / Working Papers 05-15, The University of Western Australia, Department of Economics.
  21. E Fe-Rodriguez & C D Orme, 2005. "The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics," The School of Economics Discussion Paper Series, Economics, The University of Manchester 0504, Economics, The University of Manchester.
  22. Andrea Silvestrini, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, vol. 39(1), pages 241-274, August.
  23. Badi Baltagi & Chihwa Kao & Sanggon Na, 2013. "Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test," Statistical Papers, Springer, vol. 54(4), pages 1067-1094, November.
  24. Emmanuel Flachaire, 2000. "Les méthodes du bootstrap dans les modèles de régression," Économie et Prévision, Programme National Persée, vol. 142(1), pages 183-194.
  25. José Murteira & Esmeralda Ramalho & Joaquim Ramalho, 2011. "Heteroskedasticity Testing Through Comparison of Wald-Type Statistics," GEMF Working Papers 2011-05, GEMF - Faculdade de Economia, Universidade de Coimbra.
  26. Massimo Bordignon & Andrea Monticini, 2011. "The Importance of the Electoral Rule: Evidence from Italy," CESifo Working Paper Series 3347, CESifo Group Munich.
  27. Torben Klarl, 2013. "Is Spatial Bootstrapping a Panacea for Valid Inference?," Discussion Paper Series, Universitaet Augsburg, Institute for Economics 322, Universitaet Augsburg, Institute for Economics.
  28. Tobias Pfaff & Johannes Hirata, 2013. "Testing the Easterlin Hypothesis with Panel Data: The Dynamic Relationship between Life Satisfaction and Economic Growth in Germany and the UK," SOEPpapers on Multidisciplinary Panel Data Research 554, DIW Berlin, The German Socio-Economic Panel (SOEP).
  29. JAMES G. MacKINNON, 2006. "Bootstrap Methods in Econometrics," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages S2-S18, 09.
  30. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series, Economics, The University of Manchester 1115, Economics, The University of Manchester.
  31. Helmut Herwartz & Florian Siedenburg, 2013. "To converge or not converge: unit labor cost inflation in the Euro area," Empirical Economics, Springer, vol. 44(2), pages 455-467, April.
  32. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012. "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, vol. 29(3), pages 684-690.
  33. O'Reilly, Gerard & Whelan, Karl, 2005. "Testing Parameter Stability: A Wild Bootstrap Approach," Research Technical Papers 8/RT/05, Central Bank of Ireland.
  34. Emmanuel FLACHAIRE, 2005. "Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue," Annales d'Economie et de Statistique, ENSAE, issue 77, pages 187-199.
  35. Pfaff, Tobias & Hirata, Johannes, 2013. "Testing the Easterlin hypothesis with panel data: The dynamic relationship between life satisfaction and economic growth in Germany and in the UK," CIW Discussion Papers 4/2013, University of Münster, Center for Interdisciplinary Economics (CIW).
  36. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Working Papers, Queen's University, Department of Economics 1309, Queen's University, Department of Economics.
  37. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series, National Centre for Econometric Research 7, National Centre for Econometric Research.
  38. Andrea Monticini & David Peel, 2009. "Testing for central bank independence and inflation using the wild bootstrap," Economics Bulletin, AccessEcon, vol. 29(3), pages 1602-1607.
  39. Matthew D. Webb, 2013. "Reworking Wild Bootstrap Based Inference for Clustered Errors," Working Papers, Queen's University, Department of Economics 1315, Queen's University, Department of Economics.
  40. repec:ltr:wpaper:2010.06 is not listed on IDEAS
  41. Eduardo Fé-Rodríguez & Chris D. Orme, 2009. "On the Sensitivity of Kernel-based Tests of Conditional Moment Restrictions," The School of Economics Discussion Paper Series, Economics, The University of Manchester 0912, Economics, The University of Manchester.
  42. Huynh, Kim P. & Jacho-Chávez, David T., 2009. "Growth and governance: A nonparametric analysis," Journal of Comparative Economics, Elsevier, vol. 37(1), pages 121-143, March.
  43. Pfaff, Tobias & Hirata, Johannes, 2013. "Testing the Easterlin hypothesis with panel data: The dynamic relationship between life satisfaction and economic growth in Germany and in the UK," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79965, Verein für Socialpolitik / German Economic Association.
  44. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a change in persistence in the presence of non-stationary volatility," Discussion Papers 06/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  45. Ivan Paya & David A. Peel, 2005. "A New Analysis Of The Determinants Of The Real Dollar-Sterling Exchange Rate: 1871-1994," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  46. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
  47. Corbo, Vesna & Osbat, Chiara, 2012. "Optimism bias? The elasticity puzzle in international economics revisited," Working Paper Series 1482, European Central Bank.
  48. Jorge Belaire-Franch & Kwaku Opong, 2013. "A Time Series Analysis of U.K. Construction and Real Estate Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 516-542, April.
  49. Zhenlin Yang, 2013. "LM Tests of Spatial Dependence Based on Bootstrap Critical Values," Working Papers 03-2013, Singapore Management University, School of Economics.
  50. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, School of Economics and Management, University of Aarhus.
  51. Kim, Jae H. & Fraser, Iain & Hyndman, Rob J., 2011. "Improved interval estimation of long run response from a dynamic linear model: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 55(8), pages 2477-2489, August.
  52. Stefan Sperlich, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 419-427, September.
  53. Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
  54. Davidson, James & Monticini, Andrea & Peel, David, 2007. "Implementing the wild bootstrap using a two-point distribution," Economics Letters, Elsevier, vol. 96(3), pages 309-315, September.
  55. Russell Davidson & James G. MacKinnon, 2008. "Wild Bootstrap Tests for IV Regression," Working Papers, Queen's University, Department of Economics 1135, Queen's University, Department of Economics.
  56. Arghyrou, Michael G. & Gregoriou, Andros, 2007. "Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap," Economics Letters, Elsevier, vol. 95(2), pages 285-290, May.
  57. Makram El-Shagi & Claus Michelsen & Sebastian Rosenschon, 2014. "Regulation, Innovation and Technology Diffusion: Evidence from Building Energy Efficiency Standards in Germany," Discussion Papers of DIW Berlin 1371, DIW Berlin, German Institute for Economic Research.
  58. Peter Jensen, 2010. "Testing the null of a low dimensional growth model," Empirical Economics, Springer, vol. 38(1), pages 193-215, February.
  59. Kim, Min Seong & Sun, Yixiao, 2011. "Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix," Journal of Econometrics, Elsevier, vol. 160(2), pages 349-371, February.
  60. Jamie Emerson & Chihwa Kao, 2005. "Bootstrapping and hypothesis testing in non-stationary panel data," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 313-318.
  61. José M.R. Murteira & Esmeralda A. Ramalho & Joaquim J.S. Ramalho, 2013. "Heteroskedasticity Testing Through a Comparison of Wald Statistics," CEFAGE-UE Working Papers 2013_06, University of Evora, CEFAGE-UE (Portugal).
  62. Emmanuel Flachaire, 2005. "More Efficient Tests Robust to Heteroskedasticity of Unknown Form," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(2), pages 219-241.
  63. Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," The School of Economics Discussion Paper Series, Economics, The University of Manchester 1118, Economics, The University of Manchester.
  64. Ioannidis, C. & Peel, D.A., 2005. "Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap," Economics Letters, Elsevier, vol. 87(2), pages 221-226, May.
  65. Kathryn Graddy & Lara Loewenstein & Jianping Mei & Mike Moses & Rachel Pownall, 2014. "Anchoring or Loss Aversion? Empirical Evidence from Art Auctions," Working Papers, Brandeis University, Department of Economics and International Businesss School 73, Brandeis University, Department of Economics and International Businesss School.
  66. Russell Davidson & James G. MacKinnon, 2012. "Bootstrap Confidence Sets with Weak Instruments," Working Papers, Queen's University, Department of Economics 1278, Queen's University, Department of Economics.
  67. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
  68. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2008. "Trade, FDI and Cross-Variable Linkages: A German (Macro-)Regional Perspective," MPRA Paper 12245, University Library of Munich, Germany.
  69. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
  70. Russell Davidson & James G. MacKinnon, 2011. "Confidence Sets Based on Inverting Anderson-Rubin Tests," Working Papers, Queen's University, Department of Economics 1257, Queen's University, Department of Economics.
  71. Russell Davidson & James G. MacKinnon, 2014. "Bootstrap tests for overidentification in linear regression models," Working Papers, Queen's University, Department of Economics 1318, Queen's University, Department of Economics.
  72. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January.
  73. James G. MacKinnon & Matthew D. Webb, 2014. "Wild Bootstrap Inference for Wildly Different Cluster Sizes," Working Papers, Queen's University, Department of Economics 1314, Queen's University, Department of Economics.
  74. Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.
  75. Deschepper, E. & Thas, O. & Ottoy, J.P., 2006. "Regional residual plots for assessing the fit of linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 1995-2013, April.
  76. Paya, Ivan & Peel, David A., 2006. "On the speed of adjustment in ESTAR models when allowance is made for bias in estimation," Economics Letters, Elsevier, vol. 90(2), pages 272-277, February.
  77. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers, Queen's University, Department of Economics 1127, Queen's University, Department of Economics.
  78. Jinook Jeong & Byunguk Kang, 2012. "Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(7), pages 1531-1542, January.
  79. Wikstrom, Daniel & Peeters, Ludo & Surry, Yves R., 2011. "Semiparametric Cost Allocation Estimation," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists 115742, European Association of Agricultural Economists.
  80. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
  81. Bose, Niloy & Capasso, Salvatore & Murshid, Antu Panini, 2008. "Threshold Effects of Corruption: Theory and Evidence," World Development, Elsevier, vol. 36(7), pages 1173-1191, July.
  82. Dimitris Christopoulos & Miguel A. León-Ledesma, 2009. "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics, Department of Economics, University of Kent 0909, Department of Economics, University of Kent.