Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
Copyright policy )Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
In regression models, appropriate bootstrap methods for inference robust to heteroskedasticity of unknown form are the wild bootstrap and the pairs bootstrap. The finite sample performance of a heteroskedastic-robust test is investigated with Monte Carlo experiments. The simulation results suggest that one specific version of the wild bootstrap outperforms the other versions of the wild bootstrap and of the pairs bootstrap. It is the only one for which the bootstrap test gives always better results than the asymptotic test.
- French National Centre for Scientific Research France
- IE University Spain
- University of Paris France
- Pantheon-Sorbonne University France
wild bootstrap, 330, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH], [SHS.ECO]Humanities and Social Sciences/Economics and Finance, wild bootstrap,pairs bootstrap,heteroskedasticity-robust test,Monte Carlo simulations, heteroskedasticity-robust test, Monte Carlo simulations, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], Nonparametric statistical resampling methods, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [MATH.MATH-ST] Mathematics [math]/Statistics [math.ST], pairs bootstrap
wild bootstrap, 330, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH], [SHS.ECO]Humanities and Social Sciences/Economics and Finance, wild bootstrap,pairs bootstrap,heteroskedasticity-robust test,Monte Carlo simulations, heteroskedasticity-robust test, Monte Carlo simulations, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], Nonparametric statistical resampling methods, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [MATH.MATH-ST] Mathematics [math]/Statistics [math.ST], pairs bootstrap
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