Bootstrap Methods in Econometrics*

Bootstrap Methods in Econometrics

Although it is common to refer to “the bootstrap,” there are actually a great many different bootstrap methods that can be used in econometrics. We emphasize the use of bootstrap methods for inference, particularly hypothesis testing, and we also discuss bootstrap confidence intervals. There are important cases in which bootstrap inference tends to be more accurate than asymptotic inference. Ho...

Bootstrap Inference in Econometrics

The astonishing increase in computer performance over the past two decades has made it possible for economists to base many statistical inferences on simulated, or bootstrap, distributions rather than on distributions obtained from asymptotic theory. In this paper, I review some of the basic ideas of bootstrap inference. The paper discusses Monte Carlo tests, several types of bootstrap test, an...

BOOTSTRAP METHODS IN ECONOMETRICS: THEORY AND NUMERICAL PERFORMANCE by

Bootstrap Methods with application in Econometrics and Finance*

This paper studies both the traditional and the state of art aspects of Bootstrap Resampling Procedures. The theoretical asymptotic performances of such procedures are explored by an intuitive way of Edgeworth Expansion. Several refinements of standard bootstrap methods are advanced by a brief introduction, with suggestions for further research frontiers. Further more, empirical experiments are...

The Bootstrap and Hypothesis Tests in Econometrics