Bootstrapping heteroskedasticity consistent covariance matrix estimator

Recent results of Cribari-Neto and Zarkos (1999) show that bootstrap methods can be successfully used to estimate a heteroskedasticity robust covariance matrix estimator. In this paper, we show that the wild bootstrap estimator can be calculated directly, without simulations, as it is just a more traditional estimator. Their experimental results seem to conflict with those of MacKinnon and White (1985); we reconcile these two results.

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Year of publication:	2002
Authors:	Flachaire, Emmanuel
Institutions:	HAL
Subject:	wild bootstrap \| heteroskedasticity

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00175897 Published, Computational Statistics, 2002, 17, 4, 501-506
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750875