Implementing the wild bootstrap using a two point distribution

Andrea Monticini, James Davidson, David Peel

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

23 Citazioni (Scopus)

Abstract

We consider the problem of selecting the auxiliary distribution to implement the wild bootstrap for regressions featuring heteroscedasticity of unknown form. Asymptotic refinements are nominally obtained by choosing a distribution with second and third moments equal to 1. We show that this stipulation may fail in practice, due to the distortion imposed on higher moments. We propose a new class of two-point distributions and suggest using the Kolmogorov-Smirnov statistic as a selection criterion. The results are illustrated by a Monte Carlo experiment.
Lingua originaleEnglish
pagine (da-a)309-315
Numero di pagine7
RivistaEconomics Letters
Volume2007/Volume 96, Issue 3
DOI
Stato di pubblicazionePubblicato - 2007

Keywords

  • bootstrap

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