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Bootstrap Methods in Econometrics


There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as regression models with dependent errors, in which bootstrap methods do not always work well. This paper discusses a large number of bootstrap methods that can be useful in econometrics. Applications to hypothesis testing are emphasized, and simulation results are presented for a few illustrative cases. Copyright © 2006 The Economic Society of Australia.

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Article provided by The Economic Society of Australia in its journal Economic Record.

Volume (Year): 82 (2006)
Issue (Month): s1 (09)
Pages: S2-S18

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Handle: RePEc:bla:ecorec:v:82:y:2006:i:s1:p:s2-s18
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  4. James G. MacKinnon, 2006. "Bootstrap Methods in Econometrics," Working Papers 1028, Queen's University, Department of Economics.
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  16. Donald W.K. Andrews, 2002. "The Block-block Bootstrap: Improved Asymptotic Refinements," Cowles Foundation Discussion Papers 1370, Cowles Foundation for Research in Economics, Yale University.
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