Bootstrap Hypothesis Testing

James MacKinnon

No 1127, Working Paper from Economics Department, Queen's University

Abstract: This paper surveys bootstrap and Monte Carlo methods for testing hypothesesin econometrics. Several different ways of computing bootstrap P valuesare discussed, including the double bootstrap and the fast double bootstrap.It is emphasized that there are many different procedures for generatingbootstrap samples for regression models and other types of model. As anillustration, a simulation experiment examines the performance of severalmethods of bootstrapping the supF test for structural change with an unknownbreak point.

Keywords: bootstrap test; supF test; wild bootstrap; pairs bootstrap; moving block bootstrap; residual bootstrap; bootstrap P value (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2007-06
New Economics Papers: this item is included in nep-ecm and nep-ict
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1127

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