The Wild Bootstrap, Tamed at Last
In this paper we are interested in inference based on heteroskedasticity consistent covariance matrix estimators, for which the appropriate bootstrap is a version of the wild bootstrap. Simulation results, obtained by a new very efficient methos, show that all wild bootstraps tests exhibit substantial size distortion if the error terms are skewed and strongly heteroskedastic.
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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.
- MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
- Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
- Davidson, R. & Mackinnon, J.G., 1996.
"The Size Distorsion of Bootstrap Tests,"
96a15, Universite Aix-Marseille III.
- Flachaire, Emmanuel, 1999.
"A better way to bootstrap pairs,"
Elsevier, vol. 64(3), pages 257-262, September.
- Russell Davidson & James G. MacKinnon, 1994.
"Graphical Methods for Investigating the Size and Power of Hypothesis Tests,"
903, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
- Emmanuel Flachaire, 1999. "A better way to bootstrap pairs," Post-Print halshs-00175892, HAL.
- Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
- 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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