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Bootstrapping econometric models (in Russian)

Author

Listed:
  • Russell Davidson

    (McGill University, Canada
    GREQAM, France)

Abstract

The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two “Golden Rules” are formulated that, if observed, help to obtain the best the bootstrap can offer. Bootstrapping always involves setting up a bootstrap data-generating process (DGP). The main types of bootstrap DGP in current use are discussed, with examples of their use in econometrics. The ways in which the bootstrap can be used to construct confidence sets differ somewhat from methods of hypothesis testing. The relation between the two sorts of problem is discussed.

Suggested Citation

  • Russell Davidson, 2007. "Bootstrapping econometric models (in Russian)," Quantile, Quantile, issue 3, pages 13-36, September.
  • Handle: RePEc:qnt:quantl:y:2007:i:3:p:13-36
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    File URL: http://quantile.ru/03/03-RD.pdf
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    References listed on IDEAS

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    1. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
    2. Flachaire, Emmanuel, 1999. "A better way to bootstrap pairs," Economics Letters, Elsevier, vol. 64(3), pages 257-262, September.
    3. JEGERS, Marc & VAN STRAELEN, Robert & ROOSENS, Paul & VAN DE VOORDE, Eddy & PAUWELS, Wilfried & CUYVERS, Ludo & HEYNDELS, Bruno & ABDELJELIL, Youssef Ben & MARYSSE, Stefaan & MEGANCK, Jacques & HENDER, 2000. "Boekbesprekingen: JEGERS, Marc: “The elgar companion to feminist economics (Janice PETERSON & Margaret LEWIS, Edward Elgar, 2000)” (p. 381); VAN STRAELEN, Robert: “Econometrics and economic theory in ," Economic and Social Journal (Economisch en Sociaal Tijdschrift), University of Antwerp, Faculty of Applied Economics, vol. 54(3), pages 381-398, September.
    4. Sinclair Davidson & Robert Brooks, 2004. "R&D, Agency Costs and Capital Structure: International Evidence," Econometric Society 2004 Australasian Meetings 59, Econometric Society.
    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. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    7. repec:cup:apsrev:v:79:y:1985:i:01:p:282-283_22 is not listed on IDEAS
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    Citations

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    Cited by:

    1. Hounyo, Ulrich & Varneskov, Rasmus T., 2017. "A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation," Journal of Econometrics, Elsevier, vol. 198(1), pages 10-28.
    2. repec:eee:econom:v:201:y:2017:i:2:p:228-236 is not listed on IDEAS
    3. Davidson, Russell, 2017. "A discrete model for bootstrap iteration," Journal of Econometrics, Elsevier, vol. 201(2), pages 228-236.
    4. Mazzutti, Caio Cícero Toledo Piza da Costa, 2016. "Three essays on the causal impacts of child labour laws in Brazil," Economics PhD Theses 0616, Department of Economics, University of Sussex.
    5. Yang, Zhenlin, 2015. "LM tests of spatial dependence based on bootstrap critical values," Journal of Econometrics, Elsevier, vol. 185(1), pages 33-59.

    More about this item

    Keywords

    Bootstrap; hypothesis test; confidence set;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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