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A robust bootstrap test under heteroskedasticity

  • Lamarche, Jean-Francois

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File URL: http://www.sciencedirect.com/science/article/B6V84-487TYY3-3/2/aa7b1a4a7e69f21ffca5bec163f0970f
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 79 (2003)
Issue (Month): 3 (June)
Pages: 353-359

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Handle: RePEc:eee:ecolet:v:79:y:2003:i:3:p:353-359
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
  2. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  3. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
  4. James G. MacKinnon, 1988. "Heteroskedasticity-robust tests for structural change," Working Papers 717, Queen's University, Department of Economics.
  5. Russell Davidson & James G. MacKinnon, 1985. "Heteroskedasticity-Robust Tests in Regression Directions," Working Papers 616, Queen's University, Department of Economics.
  6. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  7. Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics.
  8. FLACHAIRE, Emmanuel, 1999. "A better way to bootstrap pairs," CORE Discussion Papers 1999024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  10. Chesher, Andrew & Austin, Gerard, 1991. "The finite-sample distributions of heteroskedasticity robust Wald statistics," Journal of Econometrics, Elsevier, vol. 47(1), pages 153-173, January.
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