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Bootstrap Methods in Econometrics

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  • MacKinnon, James

Abstract

There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as regression models with dependent errors, in which bootstrap methods do not always work well. This paper discusses a large number of bootstrap methods that can be useful in econometrics. Applications to hypothesis testing are emphasized, and simulation results are presented for a few illustrative cases.
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Suggested Citation

  • MacKinnon, James, 2006. "Bootstrap Methods in Econometrics," Queen's Economics Department Working Papers 273466, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:273466
    DOI: 10.22004/ag.econ.273466
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    JEL classification:

    • 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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