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Bootstrap Testing in Nonlinear Models

Author

Listed:
  • Davidson, R.
  • Mackinnon, J.G.

Abstract

When a model is nonlinear, boostrap testing can be expensive because of the need to perform at least one nonlinear estimation for every bootstrap sample. We show that it may be possible to reduce computational costs by performing only a fixed, small number of Newton steps or artificial regressions for each bootstrap sample.

Suggested Citation

  • Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Testing in Nonlinear Models," G.R.E.Q.A.M. 97a39, Universite Aix-Marseille III.
  • Handle: RePEc:fth:aixmeq:97a39
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    Keywords

    TESTING ; ECONOMETRICS;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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