Article ID Journal Published Year Pages File Type
5062391 Economics Letters 2007 7 Pages PDF
Abstract
We consider how to select the auxiliary distribution to implement the wild bootstrap for regressions featuring heteroscedasticity of unknown form. We propose a new class of two-point distributions and suggest using the Kolmogorov-Smirnov statistic as a selection criterion.
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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Implementing the wild bootstrap using a two-point distribution
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