The Wild Bootstrap, Tamed at Last.

In this paper we are interested in inference based on heteroskedasticity consistent covariance matrix estimators, for which the appropriate bootstrap is a version of the wild bootstrap. Simulation results, obtained by a new very efficient methos, show that all wild bootstraps tests exhibit substantial size distortion if the error terms are skewed and strongly heteroskedastic.

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Year of publication:	1999
Authors:	Davidson, R. ; Flachaire, E.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	HETEROSKEDASTICITY \| ECONOMETRICS \| SIMULATION

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	38 pages
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005479073