Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors

Economics Bulletin, 2005, vol. 3, issue 44, pages 1-8

Abstract: A bootstrap bias-correction method is applied to statistical inference in the regression model with autocorrelated errors. It is found that this method substantially reduces small-sample size distortions relative to alternative methods proposed in the literature.

Keywords: Bias-correction; Bootstrap; Jackknife; Regression; Statistical inference (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2005 Written 2005-09-20
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