Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. We … develop formal Edgeworth expansions for the error in the rejection probability (ERP) of wild bootstrap tests based on … the choice of the auxiliary distribution used by the wild bootstrap in order to generate bootstrap error terms. We find …

Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. It is … independent of the distribution of the wild bootstrap DGP. This can, in one very specific case, lead to perfect bootstrap …. However, the version of the wild bootstrap with this desirable property does not benefit from the skewness correction afforded …

In this article we propose wild bootstrap implementations of the local generalized least squares (GLS) de-trended M and … roots close to -1. The wild bootstrap is used because it has the desirable property of preserving in the resampled data the …

Ukraine, using joint variance ratio tests based on signs and the wild bootstrap, for the period beginning in January 1998 and …

propose wild bootstrap implementations of the co-integrating rank tests and demonstrate that the associated bootstrap rank … the corresponding rank tests based on the i.i.d. bootstrap of Swensen (2006). The wild bootstrap, however, has the … asymptotic critical values or the i.i.d. bootstrap, the wild bootstrap rank tests perform very well in small samples under a …

sample behaviour of such tests. A solution to the identified inference problem is then provided by considering wild bootstrap …

the economic relationship. Critical values for these tests are estimated by means of the wild bootstrap that copes with …

the various cases. Additionally consistency of a wild bootstrap version of the tests is established. In contrast to most …