A Score Based Approach to Wild Bootstrap Inference

Patrick Kline and Andres Santos

No 16127, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We propose a generalization of the wild bootstrap of Wu (1986) and Liu (1988) based upon perturbing the scores of M-estimators. This "score bootstrap" procedure avoids recomputing the estimator in each bootstrap iteration, making it substantially less costly to compute than the conventional nonparametric bootstrap, particularly in complex nonlinear models. Despite this computational advantage, in the linear model, the score bootstrap studentized test statistic is equivalent to that of the conventional wild bootstrap up to order `O_p(n^(-1))`. We establish the consistency of the procedure for Wald and Lagrange Multiplier type tests and tests of moment restrictions for a wide class of M-estimators under clustering and potential misspecification. In an extensive series of Monte Carlo experiments we find that the performance of the score bootstrap is comparable to competing approaches despite its computational savings.

JEL-codes: C01 C12 (search for similar items in EconPapers)
Date: 2010-06
Note: TWP LS
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published as Kline Patrick & Santos Andres, 2012. "A Score Based Approach to Wild Bootstrap Inference," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 23-41, August.

Downloads: (external link)
http://www.nber.org/papers/w16127.pdf (application/pdf)

Related works:
Journal Article: A Score Based Approach to Wild Bootstrap Inference (2012)
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:nbr:nberwo:16127

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w16127

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().