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Les méthodes du bootstrap dans les modèles de régression

  • Emmanuel Flachaire

    ()

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université Paul Cézanne - Aix-Marseille 3 - Université de la Méditerranée - Aix-Marseille 2 - EHESS - École des hautes études en sciences sociales - CNRS - AMU - Aix-Marseille Université)

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 la loi asymptotique. Elles peuvent également servir à approximer 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.

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Paper provided by HAL in its series Post-Print with number halshs-00175894.

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Date of creation: 2001
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Publication status: Published in Economie et Prévision, Minefi - Direction de la prévision, 2001, 142, pp.183-194
Handle: RePEc:hal:journl:halshs-00175894
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00175894
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  1. Flachaire, Emmanuel, 1999. "A better way to bootstrap pairs," Economics Letters, Elsevier, vol. 64(3), pages 257-262, September.
  2. Russell Davidson & James G. MacKinnon, 1984. "Implicit Alternatives and the Local Power of Test Statistics," Working Papers 556, Queen's University, Department of Economics.
  3. Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
  4. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  5. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
  6. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  7. Freedman, David A & Peters, Stephen C, 1984. "Bootstrapping an Econometric Model: Some Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(2), pages 150-58, April.
  8. 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.
  9. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
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