| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16793 |
| 来源ID | Working Paper 16793 |
| Higher Order Properties of the Wild Bootstrap Under Misspecification | |
| Patrick M. Kline; Andres Santos | |
| 发表日期 | 2011-02-18 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We examine the higher order properties of the wild bootstrap (Wu, 1986) in a linear regression model with stochastic regressors. We find that the ability of the wild bootstrap to provide a higher order refinement is contingent upon whether the errors are mean independent of the regressors or merely uncorrelated. In the latter case, the wild bootstrap may fail to match some of the terms in an Edgeworth expansion of the full sample test statistic, potentially leading to only a partial refinement (Liu and Singh, 1987). To assess the practical implications of this result, we conduct a Monte Carlo study contrasting the performance of the wild bootstrap with the traditional nonparametric bootstrap. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w16793 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574468 |
| 推荐引用方式 GB/T 7714 | Patrick M. Kline,Andres Santos. Higher Order Properties of the Wild Bootstrap Under Misspecification. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16793.pdf（475KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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