Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative Economics 14 (2023) 3, pp. 1059-1103
bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local … Gaussian (LG) bootstrap, establish its first-order asymptotic validity, and use Edgeworth expansions to show that the LG … bootstrap inference achieves second-order asymptotic refinements. Moreover, we provide new Laplace transform-based estimators of …