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The wild bootstrap, tamed at last

Russell Davidson and Emmanuel Flachaire

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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: 2008-09
Note: View the original document on HAL open archive server: https://hal.science/hal-00649250
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Citations: View citations in EconPapers (205)

Published in Econometrics, 2008, 146 (1), pp.162-169. ⟨10.1016/j.jeconom.2008.08.003⟩

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Related works:
Journal Article: The wild bootstrap, tamed at last (2008) Downloads
Working Paper: The Wild Bootstrap, Tamed at Last (2001) Downloads
Working Paper: The wild bootstrap, tamed at last (2001) Downloads
Working Paper: The Wild Bootstrap, Tamed At Last (2001) Downloads
Working Paper: The Wild Bootstrap, Tamed at Last (2000) Downloads
Working Paper: The Wild Bootstrap, Tamed at Last (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00649250

DOI: 10.1016/j.jeconom.2008.08.003

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