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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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  25. Imbens, Guido & Abadie, Alberto, 2008. "On the Failure of the Bootstrap for Matching Estimators," Scholarly Articles 3043415, Harvard University Department of Economics.
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  27. Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO.
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  37. Russell Davidson & James G. MacKinnon, 2006. "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap," Working Papers 1044, Queen's University, Department of Economics.
  38. James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
  39. Patrick Richard, 2007. "ARMA Sieve bootstrap unit root tests," Cahiers de recherche 07-05, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke, revised Jul 2009.
  40. Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
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  43. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 419-429.
  44. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2007. "Multivariate Tests of MeanVariance Efficiency With Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 398-410, October.
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