A better way to bootstrap pairs
In this paper we are interested in heteroskedastic regression models, for which an appropriate bootstrap method is bootstrapping pairs, proposed by Freedman (1981). We propose an ameliorate version of it, with better numerical performance.
|Date of creation:||01 Apr 1999|
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- James G. MacKinnon & Halbert White, 1983.
"Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties,"
537, Queen's University, Department of Economics.
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"Implicit alternatives and the local power of test statistics,"
CORE Discussion Papers
1985025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Russell Davidson & James G. MacKinnon, 1984. "Implicit Alternatives and the Local Power of Test Statistics," Working Papers 556, Queen's University, Department of Economics.
- Davidson, R. & Mackinnon, J.G., 1996.
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96a15, Universite Aix-Marseille III.
- Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
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- Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
- 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.
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