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Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing

Listed author(s):
  • F. Cribari-Neto
  • S. G. Zarkos
Registered author(s):

    This paper uses Monte Carlo simulation analysis to study the finite-sample behavior of bootstrap estimators and tests in the linear heteroskedastic model. We consider four different bootstrapping schemes, three of them specifically tailored to handle heteroskedasticity. Our results show that weighted bootstrap methods can be successfully used to estimate the variances of the least squares estimators of the linear parameters both under normality and under nonnormality. Simulation results are also given comparing the size and power of the bootstrapped Breusch-Pagan test with that of the original test and of Bartlett and Edgeworth-corrected tests. The bootstrap test was found to be robust against unfavorable regression designs.

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    Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

    Volume (Year): 18 (1999)
    Issue (Month): 2 ()
    Pages: 211-228

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    Handle: RePEc:taf:emetrv:v:18:y:1999:i:2:p:211-228
    DOI: 10.1080/07474939908800440
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