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A robust bootstrap test under heteroskedasticity

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  • Lamarche, Jean-Francois

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  • Lamarche, Jean-Francois, 2003. "A robust bootstrap test under heteroskedasticity," Economics Letters, Elsevier, vol. 79(3), pages 353-359, June.
    • Handle: RePEc:eee:ecolet:v:79:y:2003:i:3:p:353-359
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    References listed on IDEAS

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    1. James G. MacKinnon & Russell Davidson, 1999. "Artificial Regressions," Working Paper 978, Economics Department, Queen's University.
    2. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
    3. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    4. DAVIDSON, Russel & MACKINNON, James G., 1985. "Heteroskedastcity-robust tests in regressions directions," LIDAM Reprints CORE 678, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. 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.
    7. MacKinnon, J G, 1989. "Heteroskedasticity-Robust Tests for Structural Change," Empirical Economics, Springer, vol. 14(2), pages 77-92.
    8. Flachaire, Emmanuel, 1999. "A better way to bootstrap pairs," Economics Letters, Elsevier, vol. 64(3), pages 257-262, September.
    9. 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.
    10. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
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