Gonçalves, Sílvia; Perron, Benoit - Centre Interuniversitaire de Recherche en Analyse des … - 2012
The main contribution of this paper is to propose and theoretically justify bootstrap methods for regressions where …/N→c, where 0≤c0, a two-step residual-based bootstrap is required to capture the factors estimation uncertainty, which shows up as … depends on the cross sectional dependence of the idiosyncratic error term, bootstrap validity depends crucially on the ability …