Bootstrap Hypothesis Testing

James MacKinnon ()

No 1127, Working Papers from Queen's University, Department of Economics

Abstract: This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that there are many different procedures for generating bootstrap samples for regression models and other types of model. As an illustration, a simulation experiment examines the performance of several methods of bootstrapping the supF test for structural change with an unknown break 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)
New Economics Papers: this item is included in nep-ecm and nep-ict
Date: 2007-06
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Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:1127

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