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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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    19. 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.
    20. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
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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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