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Citations for "The Wild Bootstrap, Tamed at Last"

by Russell Davidson & Emmanuel Flachaire

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  1. Seong Yeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series wp2015-010, Boston University - Department of Economics, revised 11 Oct 2015.
  2. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  3. Jamel Jouini, 2010. "Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration," Statistical Papers, Springer, vol. 51(1), pages 85-109, January.
  4. James G. MacKinnon, 2006. "Bootstrap Methods in Econometrics," Working Papers 1028, Queen's University, Department of Economics.
  5. Flachaire, E., 1999. "Les methodes du bootstrap dans les modeles de regression," G.R.E.Q.A.M. 99c10, Universite Aix-Marseille III.
  6. GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques.
  7. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  8. Gonçalves, Sílvia & Kaffo, Maximilien, 2015. "Bootstrap inference for linear dynamic panel data models with individual fixed effects," Journal of Econometrics, Elsevier, vol. 186(2), pages 407-426.
  9. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  10. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2007. "Bootstrap-Based Improvements for Inference with Clustered Errors," NBER Technical Working Papers 0344, National Bureau of Economic Research, Inc.
  11. Davidson, James & Monticini, Andrea & Peel, David, 2007. "Implementing the wild bootstrap using a two-point distribution," Economics Letters, Elsevier, vol. 96(3), pages 309-315, September.
  12. Pfaff, Tobias & Hirata, Johannes, 2013. "Testing the Easterlin hypothesis with panel data: The dynamic relationship between life satisfaction and economic growth in Germany and in the UK," CIW Discussion Papers 4/2013, University of Münster, Center for Interdisciplinary Economics (CIW).
  13. Russell Davidson & James G. MacKinnon, 2008. "Wild Bootstrap Tests for IV Regression," Working Papers 1135, Queen's University, Department of Economics.
  14. Jae H Kim & Iain Fraser & Rob J. Hyndman, 2010. "Improved Interval Estimation of Long Run Response from a Dynamic Linear Model: A Highest Density Region Approach," Working Papers 2010.06, School of Economics, La Trobe University.
  15. O'Reilly, Gerard & Whelan, Karl, 2005. "Testing Parameter Stability: A Wild Bootstrap Approach," Research Technical Papers 8/RT/05, Central Bank of Ireland.
  16. Patrick M. Kline & Andres Santos, 2011. "Higher Order Properties of the Wild Bootstrap Under Misspecification," NBER Working Papers 16793, National Bureau of Economic Research, Inc.
  17. Kenneth W. Clements & H.Y Izan & Yihui Lan, 2005. "A Stochastic Measure of International Competitiveness," Economics Discussion / Working Papers 05-15, The University of Western Australia, Department of Economics.
  18. : Carol A. Favero & Arie E. Gozluklu & Andrea Tamoni, 2010. "Demograhic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns," Working Papers wpn10-02, Warwick Business School, Finance Group.
  19. Pfaff, Tobias & Hirata, Johannes, 2013. "Testing the Easterlin hypothesis with panel data: The dynamic relationship between life satisfaction and economic growth in Germany and in the UK," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79965, Verein für Socialpolitik / German Economic Association.
  20. E Fe-Rodriguez & C D Orme, 2005. "The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics," The School of Economics Discussion Paper Series 0504, Economics, The University of Manchester.
  21. Jeong, Jinook & Kang, Byunguk, 2006. "Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity," MPRA Paper 9791, University Library of Munich, Germany, revised May 2008.
  22. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
  23. Chris D. Orme & Takashi Yamagata, 2014. "A Heteroskedasticity-Robust F -Test Statistic for Individual Effects," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 431-471, August.
  24. SILVESTRINI, Andrea, 2007. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," CORE Discussion Papers 2007080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  25. Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 361-376, April.
  26. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, Department of Economics and Business Economics, Aarhus University.
  27. repec:zbw:iwhdps:4-15 is not listed on IDEAS
  28. Makram El-Shagi & Gregor von Schweinitz, 2015. "The Joint Dynamics of Sovereign Ratings and Government Bond Yields," IWH Discussion Papers 4, Halle Institute for Economic Research.
  29. Maximilian Podstawski & Anton Velinov, 2016. "The State Dependent Impact of Bank Exposure on Sovereign Risk," Discussion Papers of DIW Berlin 1550, DIW Berlin, German Institute for Economic Research.
  30. Torben Klarl, 2014. "Is Spatial Bootstrapping A Panacea For Valid Inference?," Journal of Regional Science, Wiley Blackwell, vol. 54(2), pages 304-312, 03.
  31. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
  32. Helmut Herwartz & Florian Siedenburg, 2013. "To converge or not converge: unit labor cost inflation in the Euro area," Empirical Economics, Springer, vol. 44(2), pages 455-467, April.
  33. Massimo Bordignon & Andrea Monticini, 2011. "The importance of electoral rule: Evidence from Italy," DISCE - Quaderni dell'Istituto di Economia e Finanza ief0099, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  34. Emmanuel Flachaire, 2005. "More efficient tests robust to heteroskedasticity of unknown form," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175914, HAL.
  35. Deschepper, E. & Thas, O. & Ottoy, J.P., 2006. "Regional residual plots for assessing the fit of linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 1995-2013, April.
  36. Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.
  37. E. Fe-Rodríguez & C. Orme, 2006. "On the sensitivity of Kernel-based Conditional Moment Tests to Unconsidered Local Alternatives," The School of Economics Discussion Paper Series 0606, Economics, The University of Manchester.
  38. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research.
  39. Arghyrou, Michael G. & Gregoriou, Andros, 2007. "Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap," Economics Letters, Elsevier, vol. 95(2), pages 285-290, May.
  40. Russell Davidson & James G. MacKinnon, 2014. "Bootstrap tests for overidentification in linear regression models," Working Papers 1318, Queen's University, Department of Economics.
  41. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
  42. Badi Baltagi & Chihwa Kao & Sanggon Na, 2013. "Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test," Statistical Papers, Springer, vol. 54(4), pages 1067-1094, November.
  43. I Paya & D Peel, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 565953, Lancaster University Management School, Economics Department.
  44. Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
  45. Matthew D. Webb, 2014. "Reworking Wild Bootstrap Based Inference for Clustered Errors," Working Papers 1315, Queen's University, Department of Economics.
  46. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
  47. Kathryn Graddy & Lara Loewenstein & Jianping Mei & Mike Moses & Rachel Pownall, 2014. "Empirical Evidence of Anchoring and Loss Aversion from Art Auctions," Working Papers 73, Brandeis University, Department of Economics and International Businesss School, revised Apr 2015.
  48. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January.
  49. Erdenebat Bataa & Marwan Izzeldin & Denise Osborn, 2015. "Changes in the global oil market," Working Papers 75761696, Lancaster University Management School, Economics Department.
  50. Olivier Armantier, 2003. "Estimates Of Own Lethal Risks And Anchoring Effects," Department of Economics Working Papers 03-04, Stony Brook University, Department of Economics.
  51. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
  52. Zhenlin Yang, 2013. "LM Tests of Spatial Dependence Based on Bootstrap Critical Values," Working Papers 03-2013, Singapore Management University, School of Economics.
  53. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012. "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, vol. 29(3), pages 684-690.
  54. El-Shagi, Makram & von Schweinitz, Gregor, 2015. "The Joint Dynamics of Sovereign Ratings and Government Bond Yields," IWH Discussion Papers 4/2015, Halle Institute for Economic Research (IWH).
  55. Jamie Emerson & Chihwa Kao, 2005. "Bootstrapping and hypothesis testing in non-stationary panel data," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 313-318.
  56. José Murteira & Esmeralda Ramalho & Joaquim Ramalho, 2011. "Heteroskedasticity Testing Through Comparison of Wald-Type Statistics," GEMF Working Papers 2011-05, GEMF - Faculdade de Economia, Universidade de Coimbra.
  57. José M.R. Murteira & Esmeralda A. Ramalho & Joaquim J.S. Ramalho, 2013. "Heteroskedasticity Testing Through a Comparison of Wald Statistics," CEFAGE-UE Working Papers 2013_06, University of Evora, CEFAGE-UE (Portugal).
  58. Russell Davidson & James G. MacKinnon, 2014. "Confidence sets based on inverting Anderson–Rubin tests," Econometrics Journal, Royal Economic Society, vol. 17(2), pages S39-S58, 06.
  59. Herwartz, H. & Xu, F., 2009. "A new approach to bootstrap inference in functional coefficient models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2155-2167, April.
  60. Taisuke Otsu & Yoshiyasu Rai, 2015. "Bootstrap inference of matching estimators for average treatment effects," STICERD - Econometrics Paper Series /2015/580, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  61. Charles, Amélie & Darné, Olivier, 2009. "The efficiency of the crude oil markets: Evidence from variance ratio tests," Energy Policy, Elsevier, vol. 37(11), pages 4267-4272, November.
  62. repec:crt:wpaper:1506 is not listed on IDEAS
  63. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series 1115, Economics, The University of Manchester.
  64. Bose, Niloy & Capasso, Salvatore & Murshid, Antu Panini, 2008. "Threshold Effects of Corruption: Theory and Evidence," World Development, Elsevier, vol. 36(7), pages 1173-1191, July.
  65. Peter Jensen, 2010. "Testing the null of a low dimensional growth model," Empirical Economics, Springer, vol. 38(1), pages 193-215, February.
  66. Corbo, Vesna & Osbat, Chiara, 2012. "Optimism bias? The elasticity puzzle in international economics revisited," Working Paper Series 1482, European Central Bank.
  67. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2008. "Trade, FDI and Cross-Variable Linkages: A German (Macro-)Regional Perspective," MPRA Paper 12245, University Library of Munich, Germany.
  68. Kuan-Pin Lin & Zhi-He Long & Bianling Ou, 2011. "The Size and Power of Bootstrap Tests for Spatial Dependence in a Linear Regression Model," Computational Economics, Society for Computational Economics, vol. 38(2), pages 153-171, August.
  69. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  70. James G. MacKinnon & Matthew D. Webb, 2015. "Wild Bootstrap Inference for Wildly Different Cluster Sizes," Working Papers 1314, Queen's University, Department of Economics.
  71. Graddy, Kathryn & Loewenstein, Lara & Mei, Jianping & Moses, Mike & Pownall, Rachel A J, 2014. "Anchoring or Loss Aversion? Empirical Evidence from Art Auctions," CEPR Discussion Papers 10048, C.E.P.R. Discussion Papers.
  72. Emmanuel Flachaire, 2005. "Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175905, HAL.
  73. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  74. Yang, Zhenlin, 2015. "LM tests of spatial dependence based on bootstrap critical values," Journal of Econometrics, Elsevier, vol. 185(1), pages 33-59.
  75. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
  76. Wikstrom, Daniel & Peeters, Ludo & Surry, Yves R., 2011. "Semiparametric Cost Allocation Estimation," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115742, European Association of Agricultural Economists.
  77. Paya, Ivan & Peel, David A., 2006. "On the speed of adjustment in ESTAR models when allowance is made for bias in estimation," Economics Letters, Elsevier, vol. 90(2), pages 272-277, February.
  78. Russell Davidson & James G. MacKinnon, 2014. "Bootstrap Confidence Sets with Weak Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 651-675, August.
  79. Andrea Monticini & David Peel, 2009. "Testing for central bank independence and inflation using the wild bootstrap," Economics Bulletin, AccessEcon, vol. 29(3), pages 1602-1607.
  80. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
  81. Seongyeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series 2013-023, Boston University - Department of Economics.
  82. Lamarche, Jean-Francois, 2003. "A robust bootstrap test under heteroskedasticity," Economics Letters, Elsevier, vol. 79(3), pages 353-359, June.
  83. Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," The School of Economics Discussion Paper Series 1118, Economics, The University of Manchester.
  84. Stefan Sperlich, 2014. "On the choice of regularization parameters in specification testing: a critical discussion," Empirical Economics, Springer, vol. 47(2), pages 427-450, September.
  85. Klaus Grobys, 2015. "Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity," Empirical Economics, Springer, vol. 48(3), pages 1189-1202, May.
  86. Jorge Belaire-Franch & Kwaku Opong, 2013. "A Time Series Analysis of U.K. Construction and Real Estate Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 516-542, April.
  87. Massimo Bordignon & Andrea Monticini, 2011. "The Importance of the Electoral Rule: Evidence from Italy," CESifo Working Paper Series 3347, CESifo Group Munich.
  88. Goodness C. Aye & Luis A. Gil-Alana & Rangan Gupta & Mark Wohar, 2016. "The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches," Working Papers 201610, University of Pretoria, Department of Economics.
  89. Ioannidis, C. & Peel, D.A., 2005. "Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap," Economics Letters, Elsevier, vol. 87(2), pages 221-226, May.
  90. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Testing for a change in persistence in the presence of non-stationary volatility," Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November.
  91. Huynh, Kim P. & Jacho-Chávez, David T., 2009. "Growth and governance: A nonparametric analysis," Journal of Comparative Economics, Elsevier, vol. 37(1), pages 121-143, March.
  92. Stefan Sperlich, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 419-427, September.
  93. Stan Hurn & Ralf Becker, 2006. "Testing for nonlinearity in mean in the presence of heteroskedasticity," Stan Hurn Discussion Papers 2006-02, School of Economics and Finance, Queensland University of Technology.
  94. Tobias Pfaff & Johannes Hirata, 2013. "Testing the Easterlin Hypothesis with Panel Data: The Dynamic Relationship between Life Satisfaction and Economic Growth in Germany and the UK," SOEPpapers on Multidisciplinary Panel Data Research 554, DIW Berlin, The German Socio-Economic Panel (SOEP).
  95. Makram El-Shagi & Claus Michelsen & Sebastian Rosenschon, 2014. "Regulation, Innovation and Technology Diffusion: Evidence from Building Energy Efficiency Standards in Germany," Discussion Papers of DIW Berlin 1371, DIW Berlin, German Institute for Economic Research.
  96. Dimitris Christopoulos & Miguel A. León-Ledesma, 2009. "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics 0909, School of Economics, University of Kent.
  97. Kim, Min Seong & Sun, Yixiao, 2011. "Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix," Journal of Econometrics, Elsevier, vol. 160(2), pages 349-371, February.
  98. Daiki Maki, 2015. "Wild bootstrap tests for unit root in ESTAR models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(3), pages 475-490, September.
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