Bootstrap performance with heteroskedasticity

The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be important to explain bootstrap discrepancy are illustrated by some Monte Carlo experiments.

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Year of publication:	2023
Authors:	Davidson, Russell ; Monticini, Andrea
Publisher:	Milano : Università Cattolica del Sacro Cuore, Dipartimento di Economia e Finanza (DISCE)
Subject:	Bootstrap inference \| fast double bootstrap \| conditional fast double bootstrap \| heteroskedasticity

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Series:	Working Paper ; 130
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1876291818 [GVK]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10014550294