Bootstrap Methods in Econometrics

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 1028

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Statistical Simulation Methods: General
• Subject: bootstrap ; Monte Carlo test ; wild bootstrap ; sieve bootstrap ; moving block bootstrap

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): MacKinnon, James G.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/189312
• Last update: 10.03.2025, 11:42 AM CET