The wild bootstrap, tamed at last

Russell Davidson and Emmanuel Flachaire

Journal of Econometrics, 2008, vol. 146, issue 1, 162-169

Abstract: The wild bootstrap is studied in the context of regression models with heteroskedastic disturbances. We show that, in one very specific case, perfect bootstrap inference is possible, and a substantial reduction in the error in the rejection probability of a bootstrap test is available much more generally. However, the version of the wild bootstrap with this desirable property is without the skewness correction afforded by the currently most popular version of the wild bootstrap. Simulation experiments show that this does not prevent the preferred version from having the smallest error in rejection probability in small and medium-sized samples.

Keywords: Wild; bootstrap; Heteroskedasticity; Bootstrap; inference (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (214)

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Related works:
Working Paper: The wild bootstrap, tamed at last (2008)
Working Paper: The Wild Bootstrap, Tamed at Last (2001)
Working Paper: The wild bootstrap, tamed at last (2001)
Working Paper: The Wild Bootstrap, Tamed At Last (2001)
Working Paper: The Wild Bootstrap, Tamed at Last (2000)
Working Paper: The Wild Bootstrap, Tamed at Last (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:146:y:2008:i:1:p:162-169

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