Bootstrap methods in econometrics

Joel L. Horowitz ()
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Joel L. Horowitz: Institute for Fiscal Studies and Northwestern University

No CWP53/18, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one’s data or a model estimated from the data. Under conditions that hold in a wide variety of econometric applications, the bootstrap provides approximations to distributions of statistics, coverage probabilities of confidence intervals, and rejection probabilities of hypothesis tests that are more accurate than the approximations of first-order asymptotic distribution theory. The reductions in the differences between true and nominal coverage or rejection probabilities can be very large. In addition, the bootstrap provides a way to carry out inference in certain settings where obtaining analytic distributional approximations is difficult or impossible. This article explains the usefulness and limitations of the bootstrap in contexts of interest in econometrics. The presentation is informal and expository. It provides an intuitive understanding of how the bootstrap works. Mathematical details are available in references that are cited.

Keywords: Resampling; confidence interval; hypothesis test; asymptotic refinement; bootstrap (search for similar items in EconPapers)
Date: 2018-09-18
New Economics Papers: this item is included in nep-ecm
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