Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing

F. Cribari-Neto and S. G. Zarkos

Econometric Reviews, 1999, vol. 18, issue 2, 211-228

Abstract: This paper uses Monte Carlo simulation analysis to study the finite-sample behavior of bootstrap estimators and tests in the linear heteroskedastic model. We consider four different bootstrapping schemes, three of them specifically tailored to handle heteroskedasticity. Our results show that weighted bootstrap methods can be successfully used to estimate the variances of the least squares estimators of the linear parameters both under normality and under nonnormality. Simulation results are also given comparing the size and power of the bootstrapped Breusch-Pagan test with that of the original test and of Bartlett and Edgeworth-corrected tests. The bootstrap test was found to be robust against unfavorable regression designs.

Keywords: Bartlett-type correction; bootstrap; Edgeworth expansion; heteroskedasticity; Lagrange multiplier test; score test; weighted bootstrap; JEL CLASSIFICATION:C12; C13; C15 (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939908800440 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:18:y:1999:i:2:p:211-228

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939908800440

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().