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Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue

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  • Emmanuel Flachaire

    () (EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

Dans la pratique, la plupart des statistiques de test ont une distribution de probabilité de forme inconnue. Généralement, on utilise leur loi asymptotique comme approximation de la vraie loi. Mais, si l'échantillon dont on dispose n'est pas de taille suffisante cette approximation peut être de mauvaise qualité et les tests basés dessus largement biaisés. Les méthodes du bootstrap permettent d'obtenir une approximation de la vraie loi de la statistique en général plus précise que laloi asymptotique. Elles peuvent également servir àapproximer la loi d'une statistique qu'on ne peut pas calculer analytiquement. Dans cet article, nous présentons une méthodologie générale du bootstrap dans le contexte des modèles de régression.

Suggested Citation

  • Emmanuel Flachaire, 2005. "Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175905, HAL.
  • Handle: RePEc:hal:cesptp:halshs-00175905
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00175905
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    References listed on IDEAS

    as
    1. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
    2. van Giersbergen, Noud P. A. & Kiviet, Jan F., 2002. "How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach," Journal of Econometrics, Elsevier, vol. 108(1), pages 133-156, May.
    3. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
    4. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-1222, September.
    7. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
    8. 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.
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    Keywords

    bootstrap; modèles de régression;

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