The Wild Bootstrap, Tamed At Last

Emmanuel Flachaire and Russell Davidson

No 1000, Working Paper from Economics Department, Queen's University

Abstract: Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. We develop formal Edgeworth expansions for the error in the rejection probability (ERP) of wild bootstrap tests based on asymptotic t statistics computed with a heteroskedasticity consistent covariance matrix estimator. Particular interest centers on the choice of the auxiliary distribution used by the wild bootstrap in order to generate bootstrap error terms. We find that the Rademacher distribution usually gives smaller ERPs, in small samples, than the version of the wild bootstrap that seems most popular in the literature, even though it does not benefit from the latter's skewness correction. This conclusion, based on Edgeworth expansions, is confirmed by a series of simulation experiments. We conclude that a particular version of the wild bootstrap is to be preferred in almost all practical situations, and we show analytically that it, and no other version, gives perfect inference in a special case.

Keywords: Wild Bootstrap; Heteroskedasticity Consistent Covariance Matrix Estimators; Size distortion (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2001-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (63)

Downloads: (external link)
https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1000.pdf First version 2001 (application/pdf)

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 (2000)
Working Paper: The Wild Bootstrap, Tamed at Last (1999)
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