The wild bootstrap, tamed at last

A-Tier
Journal: Journal of Econometrics
Year: 2008
Volume: 146
Issue: 1
Pages: 162-169

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:econom:v:146:y:2008:i:1:p:162-169
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25