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A better way to bootstrap pairs

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  • FLACHAIRE, Emmanuel

    (GREQAM, Université de la Méditerranée and CORE, Université Catholique de Louvain, Belgium)

Abstract

In this paper we are interested in heteroskedastic regression models, for which an appropriate bootstrap method is bootstrapping pairs, proposed by Freedman (1981). We propose an ameliorate version of it, with better numerical performance.

Suggested Citation

  • FLACHAIRE, Emmanuel, 1999. "A better way to bootstrap pairs," LIDAM Discussion Papers CORE 1999024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1999024
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1999.html
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    References listed on IDEAS

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    1. Davidson, Russell & MacKinnon, James G, 1987. "Implicit Alternatives and the Local Power of Test Statistics," Econometrica, Econometric Society, vol. 55(6), pages 1305-1329, November.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    3. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
    4. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(3), pages 361-376, June.
    5. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, University Library of Munich, Germany, revised 05 Mar 1996.
    6. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
    7. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
    8. Davidson, Russell & MacKinnon, James G., 1996. "The Power of Bootstrap Tests," Queen's Institute for Economic Research Discussion Papers 273372, Queen's University - Department of Economics.
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    Citations

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    Cited by:

    1. Patrick Bayer & Stephen L. Ross & Giorgio Topa, 2008. "Place of Work and Place of Residence: Informal Hiring Networks and Labor Market Outcomes," Journal of Political Economy, University of Chicago Press, vol. 116(6), pages 1150-1196, December.
    2. Emmanuel Flachaire, 2000. "Les méthodes du bootstrap dans les modèles de régression," Économie et Prévision, Programme National Persée, vol. 142(1), pages 183-194.
    3. Ross, Stephen L. & Turner, Margery Austin & Godfrey, Erin & Smith, Robin R., 2008. "Mortgage lending in Chicago and Los Angeles: A paired testing study of the pre-application process," Journal of Urban Economics, Elsevier, vol. 63(3), pages 902-919, May.
    4. Pötscher, Benedikt M. & Preinerstorfer, David, 2023. "How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?," Econometric Theory, Cambridge University Press, vol. 39(4), pages 789-847, August.
    5. Emmanuel Flachaire, 2005. "More Efficient Tests Robust to Heteroskedasticity of Unknown Form," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 219-241.
    6. Lamarche, Jean-Francois, 2003. "A robust bootstrap test under heteroskedasticity," Economics Letters, Elsevier, vol. 79(3), pages 353-359, June.
    7. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
    8. Stan Hurn & Ralf Becker, 2009. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy, Elsevier, vol. 39(2), pages 311-326, September.
    9. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
    10. Eva Boj del Val & M. Mercedes Claramunt Bielsa & Jose Fortiana Gregori, 2006. "Bootstrapping pairs in Distance-Based Regression," Working Papers in Economics 154, Universitat de Barcelona. Espai de Recerca en Economia.
    11. Man Jin & Shunan Zhao & Subal C. Kumbhakar, 2020. "Information asymmetry and leverage adjustments: a semiparametric varying‐coefficient approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(2), pages 581-605, February.
    12. Jian Chen & Jiaquan Yao & Qunzi Zhang & Xiaoneng Zhu, 2023. "Global Disaster Risk Matters," Management Science, INFORMS, vol. 69(1), pages 576-597, January.
    13. Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 361-376, April.
    14. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research.
    15. Sierzchula, William & Nemet, Gregory, 2015. "Using patents and prototypes for preliminary evaluation of technology-forcing policies: Lessons from California's Zero Emission Vehicle regulations," Technological Forecasting and Social Change, Elsevier, vol. 100(C), pages 213-224.
    16. Torben Klarl, 2014. "Is Spatial Bootstrapping A Panacea For Valid Inference?," Journal of Regional Science, Wiley Blackwell, vol. 54(2), pages 304-312, March.
    17. James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
    18. Eva Boj & Teresa Costa & Josep Fortiana & Anna Esteve, 2015. "Assessing the Importance of Risk Factors in Distance-Based Generalized Linear Models," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 951-962, December.
    19. Yamile Díaz Torres & Paride Gullo & Hernán Hernández Herrera & Migdalia Torres del Toro & Mario A. Álvarez Guerra & Jorge Iván Silva Ortega & Arne Speerforck, 2022. "Statistical Analysis of Design Variables in a Chiller Plant and Their Influence on Energy Consumption and Life Cycle Cost," Sustainability, MDPI, vol. 14(16), pages 1-19, August.
    20. Becker, R. & Hurn, A.S., 2004. "Using discrete-time techniques to test continuous-time models for nonlinearity in drift," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 121-131.

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    More about this item

    Keywords

    bootstrap; heteroskedasticity;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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