کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097186 1376574 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The wild bootstrap, tamed at last
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
The wild bootstrap, tamed at last
چکیده انگلیسی
The wild bootstrap is studied in the context of regression models with heteroskedastic disturbances. We show that, in one very specific case, perfect bootstrap inference is possible, and a substantial reduction in the error in the rejection probability of a bootstrap test is available much more generally. However, the version of the wild bootstrap with this desirable property is without the skewness correction afforded by the currently most popular version of the wild bootstrap. Simulation experiments show that this does not prevent the preferred version from having the smallest error in rejection probability in small and medium-sized samples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 146, Issue 1, September 2008, Pages 162-169
نویسندگان
, ,