Higher Order Properties of the Wild Bootstrap Under Misspecification

Patrick Kline and Andres Santos

No 16793, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We examine the higher order properties of the wild bootstrap (Wu, 1986) in a linear regression model with stochastic regressors. We find that the ability of the wild bootstrap to provide a higher order refinement is contingent upon whether the errors are mean independent of the regressors or merely uncorrelated. In the latter case, the wild bootstrap may fail to match some of the terms in an Edgeworth expansion of the full sample test statistic, potentially leading to only a partial refinement (Liu and Singh, 1987). To assess the practical implications of this result, we conduct a Monte Carlo study contrasting the performance of the wild bootstrap with the traditional nonparametric bootstrap.

JEL-codes: C12 (search for similar items in EconPapers)
Date: 2011-02
New Economics Papers: this item is included in nep-ecm
Note: TWP
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Citations: View citations in EconPapers (1)

Published as Kline, Patrick & Santos, Andres, 2012. "Higher order properties of the wild bootstrap under misspecification," Journal of Econometrics, Elsevier, vol. 171(1), pages 54-70.

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Journal Article: Higher order properties of the wild bootstrap under misspecification (2012)
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