Bootstrap Performance with Heteroskedasticity

Russell Davidson, Andrea Monticini*

*Corresponding author

Research output: Working paper

Abstract

The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be important to explain bootstrap discrepancy are illustrated by some Monte Carlo experiments.
Original languageEnglish
Number of pages18
Publication statusPublished - 2023

Keywords

  • fast double bootstrap
  • Bootstrap inference

Fingerprint

Dive into the research topics of 'Bootstrap Performance with Heteroskedasticity'. Together they form a unique fingerprint.

Cite this