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Bootstrap Performance with Heteroskedasticity

Russell Davidson and Andrea Monticini

No def130, DISCE - Working Papers del Dipartimento di Economia e Finanza from Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE)

Abstract: The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be important to explain bootstrap discrepancy are illustrated by some Monte Carlo experiments.

Keywords: Bootstrap inference; fast double bootstrap; conditional fast double bootstrap; heteroskedasticity. (search for similar items in EconPapers)
JEL-codes: C12 C22 C32 (search for similar items in EconPapers)
Pages: 19
Date: 2023-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://dipartimenti.unicatt.it/economia-finanza-def130.pdf First version, 2023 (application/pdf)

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