Bootstrap Performance with Heteroskedasticity

Russell Davidson, Andrea Monticini*

*Autore corrispondente per questo lavoro

Risultato della ricerca: 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.
Lingua originaleEnglish
Numero di pagine18
Stato di pubblicazionePubblicato - 2023

Keywords

  • fast double bootstrap
  • Bootstrap inference

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