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Bootstrap Methods In Econometrics

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  • James G. MacKinnon

    (Queen's University)

Abstract

There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as regression models with dependent errors, in which bootstrap methods do not always work well. This paper discusses a large number of bootstrap methods that can be useful in econometrics. Applications to hypothesis testing are emphasized, and simulation results are presented for a few illustrative cases.

Suggested Citation

  • James G. MacKinnon, 2006. "Bootstrap Methods In Econometrics," Working Paper 1028, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:1028
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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1028.pdf
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    References listed on IDEAS

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    18. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    19. Davidson, Russell & MacKinnon, James G., 2006. "The power of bootstrap and asymptotic tests," Journal of Econometrics, Elsevier, vol. 133(2), pages 421-441, August.
    20. Wolfgang Härdle & Joel Horowitz & Jens‐Peter Kreiss, 2003. "Bootstrap Methods for Time Series," International Statistical Review, International Statistical Institute, vol. 71(2), pages 435-459, August.
    21. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
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    More about this item

    Keywords

    bootstrap; Monte Carlo test; wild bootstrap; sieve bootstrap; moving block bootstrap;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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