Search Results - subject:"Wild Bootstrap"

Stock markets reaction to COVID-19 : evidence from time-varying cointegration, leveraged bootstrap causality and event analysis

Lee, Chien-Chiang; Olasehinde-Williams, Godwin; … - In: Finance a úvěr 72 (2022) 4, pp. 328-355

Persistent link: https://www.econbiz.de/10013474448

Predicting stock returns and volatility in BRICS countries during a pandemic : evidence from the novel wild bootstrap likelihood ratio approach

Özkan, Oktay; Olasehinde-Williams, Godwin; Olanipekun, … - In: Finance a úvěr 72 (2022) 2, pp. 124-149

Persistent link: https://www.econbiz.de/10013271554

Testing for the martingale difference hypothesis in multivariate time series models

Wang, Guochang; Zhu, Ke; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 980-994

Persistent link: https://www.econbiz.de/10013539404

Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors

Djogbenou, Antoine A.; MacKinnon, James G.; Nielsen, … - 2018

, focusing on the wild cluster bootstrap and the ordinary wild bootstrap. We state conditions under which both asymptotic and … distribution for the wild bootstrap. …

Persistent link: https://www.econbiz.de/10011939450

Fast and Wild: Bootstrap Inference in Stata Using boottest

Roodman, David Malin; MacKinnon, James G.; Nielsen, … - 2018

The wild bootstrap was originally developed for regression models with heteroskedasticity of unknown form. Over the … where the error terms are (perhaps multi-way) clustered. Like bootstrap methods in general, the wild bootstrap is especially … wild bootstrap tests, often at remarkable speed. It can also invert these tests to construct confidence sets. As a …

Persistent link: https://www.econbiz.de/10011939457