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Bootstrap Hypothesis Testing

Listed author(s):
  • James G. MacKinnon

    ()

    (Queen's University)

This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that there are many different procedures for generating bootstrap samples for regression models and other types of model. As an illustration, a simulation experiment examines the performance of several methods of bootstrapping the supF test for structural change with an unknown break point.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1127.pdf
File Function: First version 2007
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Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1127.

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Length: 35 pages
Date of creation: Jun 2007
Handle: RePEc:qed:wpaper:1127
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Web page: http://qed.econ.queensu.ca/
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  28. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
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