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Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap

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  • Flachaire, Emmanuel

Abstract

In regression models, appropriate bootstrap methods for inference robust to heteroskedasticity of unknown form are the wild bootstrap and the pairs bootstrap. The finite sample performance of a heteroskedastic-robust test is investigated with Monte Carlo experiments. The simulation results suggest that one specific version of the wild bootstrap outperforms the other versions of the wild bootstrap and of the pairs bootstrap. It is the only one for which the bootstrap test gives always better results than the asymptotic test.
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  • Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 361-376, April.
  • Handle: RePEc:eee:csdana:v:49:y:2005:i:2:p:361-376
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    1. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
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    5. Flachaire, Emmanuel, 1999. "A better way to bootstrap pairs," Economics Letters, Elsevier, vol. 64(3), pages 257-262, September.
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    11. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
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