Bootstrap Methods in Econometrics
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چکیده
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. However, it is not always easy to generate bootstrap samples in a way that makes bootstrap inference even asymptotically valid. This is Chapter 25 of Palgrave Handbooks of Econometrics: Vol. 1 Econometric Theory edited by Kerry Patterson and Terence C. Mills. This research was supported, in part, by grants from the Social Sciences and Humanities Research Council of Canada.
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تاریخ انتشار 2004