-averaged returns, we propose a novel procedure that combines the wild bootstrap with the blocks of blocks bootstrap. We provide a proof …

motivates the application of the wild bootstrap in this context. We provide a proof of the first order asymptotic validity of … this method for percentile and percentile-t intervals. Our Monte Carlo simulations show that the wild bootstrap can improve …

study we find that also for spatial, cross-sectional data, the wild bootstrap test proposed by Davidson and Flachaire (2008 …

matrix) and on the use of the wild bootstrap are discussed. These do not require the practitioner to specify a parametric …

asymptotic or wild bootstrap-based likelihood ratio type tests. Complementing recent work done for the latter in Cavaliere … values of the co-integration rank, sample size, stationary dynamics and models of heteroskedasticity. Of these the wild … bootstrap procedure is perhaps the more reliable overall since it avoids a significant tendency seen in the BIC-based method to …

matrix) and on the use of the wild bootstrap are discussed. These do not require the practitioner to specify a parametric …

study we find that also for spatial, cross-sectional data, the wild bootstrap test proposed by Davidson and Flachaire (2008 …

matrix) and on the use of the wild bootstrap are discussed. These do not require the practitioner to specify a parametric …

-to-implement alternative procedures that involve the wild bootstrap. Further Monte Carlo simulations provide evidence that the use of a 6-point … distribution with the wild bootstrap can improve the reliability of inference. …

study we find that also for spatial, cross-sectional data, the wild bootstrap test proposed by Davidson and Flachaire (2008 …