The Wild Bootstrap, Tamed at Last

Russell Davidson and Emmanuel Flachaire

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: In this paper we are interested in inference based on heteroskedasticity consistent covariance matrix estimators, for which the appropriate bootstrap is a version of the wild bootstrap. Simulation results, obtained by a new very efficient methos, show that all wild bootstraps tests exhibit substantial size distortion if the error terms are skewed and strongly heteroskedastic.

Keywords: HETEROSKEDASTICITY; ECONOMETRICS; SIMULATION (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 38 pages
Date: 1999
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Citations: View citations in EconPapers (25)

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Related works:
Journal Article: The wild bootstrap, tamed at last (2008)
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)
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