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Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping

Author

Listed:
  • Russel Davidson

    () (Department of Economics and CIREQ McGill University)

  • Andrea Monticini

    () (Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore)

Abstract

In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and autocorrelation are of unknown form. A particular version of the wild bootstrap can be shown to work very well with many models, both univariate and multivariate, in the presence of heteroskedasticity. Nothing comparable appears to exist for handling serial correlation. Recently, there has been proposed something called the dependent wild bootstrap. Here, we extend this new method, and link it to the well-known HAC covariance estimator, in much the same way as one can link the wild bootstrap to the HCCME. It works very well even with sample sizes smaller than 50, and merits considerable further study.

Suggested Citation

  • Russel Davidson & Andrea Monticini, 2014. "Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping," DISCE - Working Papers del Dipartimento di Economia e Finanza def012, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  • Handle: RePEc:ctc:serie1:def012
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    File URL: http://dipartimenti.unicatt.it/economia-finanza-def012.pdf
    File Function: First version, 2014
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    References listed on IDEAS

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    Cited by:

    1. Simone Moriconi, 2016. "Taxation, Industry Integration and Production Efficiency," CESifo Working Paper Series 6001, CESifo Group Munich.
    2. Elenka Brenna & Lara Gitto, 2016. "Financing elderly care in Italy and Europe. Is there a common vision?," DISCE - Working Papers del Dipartimento di Economia e Finanza def047, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    3. Rosario Crinò & Laura Ogliari, 2015. "Financial Frictions, Product Quality, and International Trade," DISCE - Working Papers del Dipartimento di Economia e Finanza def030, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    4. Sebastiano Della Lena & Fabrizio Panebianco, 2019. "Cultural Transmission with Incomplete Information: Parental Perceived Efficacy and Group Misrepresentation," DISCE - Working Papers del Dipartimento di Economia e Finanza def079, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    5. Grazia Cecere & Nicoletta Corrocher & Maria Luisa Mancusi, 2016. "Financial constraints and public funding for eco-innovation: Empirical evidence on European SMEs," DISCE - Working Papers del Dipartimento di Economia e Finanza def046, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    6. Angelo Baglioni & Andrea Boitani & Massimo Bordignon, 2016. "Labor Mobility and Fiscal Policy in a Currency Union," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 72(4), pages 371-406, December.
    7. Rosario Crinò & Giovanni Immordino & Salvatore Piccolo, 2018. "Fighting Mobile Crime," DISCE - Working Papers del Dipartimento di Economia e Finanza def071, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    8. Michele Tettamanzi, 2017. "E Many Pluribus Unum: A Behavioural Macro-Economic Agent Based Model," DISCE - Working Papers del Dipartimento di Economia e Finanza def062, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    9. repec:bpj:bejeap:v:17:y:2017:i:3:p:20:n:6 is not listed on IDEAS
    10. F. Bec & A. De Gaye, 2014. "How do oil price forecast errors impact inflation forecast errors? An empirical analysis from French and US inflation forecasts," Working papers 523, Banque de France.
    11. Tiziana Assenza & Domenico Delli Gatti & Jakob Grazzini & Giorgio Ricchiuti, 2016. "Heterogeneous Firms and International Trade: The role of productivity and financial fragility," DISCE - Working Papers del Dipartimento di Economia e Finanza def042, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    12. Cottini Elena & Ghinetti Paolo, 2017. "Is it the Way You Live or the Job You Have? Health Effects of Lifestyles and Working Conditions," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 17(3), pages 1-20, July.
    13. Bec, Frédérique & De Gaye, Annabelle, 2016. "How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts," Economic Modelling, Elsevier, vol. 53(C), pages 75-88.
    14. Maria Flavia Ambrosanio & Paolo Balduzzi & Massimo Bordignon, 2014. "Economic crisis and fiscal federalism in Italy," Working papers 8, Società Italiana di Economia Pubblica.
    15. Luca Fiorito & Cosma Orsi, 2016. "Survival Value And A Robust, Practical, Joyless Individualism: Thomas Nixon Carver, Social Justice, And Eugenics," DISCE - Working Papers del Dipartimento di Economia e Finanza def044, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    16. Jakob Grazzini & Alessandro Spelta, 2015. "An empirical analysis of the global input-output network and its evolution," DISCE - Working Papers del Dipartimento di Economia e Finanza def031, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    17. Russell Davidson & Andrea Monticini, 2018. "Improvements in Bootstrap Inference," DISCE - Working Papers del Dipartimento di Economia e Finanza def070, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    18. Elenka Brenna & Lara Gitto, 2018. "Adult education, the use of Information and Communication Technologies and the impact on quality of life: a case study," DISCE - Working Papers del Dipartimento di Economia e Finanza def073, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).

    More about this item

    Keywords

    Bootstrap; time series; wild bootstrap; dependent wild bootstrap; HAC covariance matrix estimator;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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