Bootstrap Methods In Econometrics

James MacKinnon

No 1028, Working Paper from Economics Department, Queen's University

Abstract: There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as regression models with dependent errors, in which bootstrap methods do not always work well. This paper discusses a large number of bootstrap methods that can be useful in econometrics. Applications to hypothesis testing are emphasized, and simulation results are presented for a few illustrative cases.

Keywords: bootstrap; Monte Carlo test; wild bootstrap; sieve bootstrap; moving block bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2006-02
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (202)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1028.pdf First version 2006 (application/pdf)

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Journal Article: Bootstrap Methods in Econometrics (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1028

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