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Bootstrap Methods in Econometrics

  • James G. MacKinnon

    ()

    (Queen's University)

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.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1028.pdf
File Function: First version 2006
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Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1028.

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Length: 29 pages
Date of creation: Feb 2006
Date of revision:
Publication status: Published in Economic Record, 82, 2006
Handle: RePEc:qed:wpaper:1028
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  1. Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," STICERD - Distributional Analysis Research Programme Papers 58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. 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.
  3. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  4. Joon Y. Park, 2003. "Bootstrap Unit Root Tests," Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November.
  5. Russell Davidson & James G. MacKinnon, 2004. "The Power of Bootstrap and Asymptotic Tests," Working Papers 1035, Queen's University, Department of Economics.
  6. Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  7. Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
  8. Emmanuel Flachaire, 2002. "Bootstrapping heteroskedasticity consistent covariance matrix estimator," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175897, HAL.
  9. Jeff Racine & James G. MacKinnon, 2004. "Simulation-based Tests that Can Use Any Number of Simulations," Working Papers 1027, Queen's University, Department of Economics.
  10. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  11. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
  12. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
  13. Goncalves, Silvia & White, Halbert, 2005. "Bootstrap Standard Error Estimates for Linear Regression," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 970-979, September.
  14. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
  15. James G. MacKinnon, 2006. "Bootstrap Methods in Econometrics," Working Papers 1028, Queen's University, Department of Economics.
  16. Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 379-400, 07.
  17. Härdle, Wolfgang & Horowitz, Joel L. & Kreiss, Jens-Peter, 2001. "Bootstrap methods for time series," SFB 373 Discussion Papers 2001,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  18. Donald W. K. Andrews, 2004. "the Block-Block Bootstrap: Improved Asymptotic Refinements," Econometrica, Econometric Society, vol. 72(3), pages 673-700, 05.
  19. 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.
  20. Horowitz, Joel L. & Lobato, I.N. & Nankervis, John C. & Savin, N.E., 2006. "Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness," Journal of Econometrics, Elsevier, vol. 133(2), pages 841-862, August.
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