BOOTSTRAPPING ECONOMETRIC MODELS

Departmental Working Papers from McGill University, Department of Economics

Abstract: The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two "Golden Rules" are formulated that, if observed, help to obtain the best the bootstrap can offer. Bootstrapping always involves setting up a bootstrap data-generating process (DGP). The main types of bootstrap DGP in current use are discussed, with examples of their use in econometrics. The ways in which the bootstrap can be used to construct confidence sets differ somewhat from methods of hypothesis testing. The relation between the two sorts of problem is discussed.

JEL-codes: C10 C12 C15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2007-06
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://home.mcgill.ca/files/economics/bootstrappingeconometricmodels.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to home.mcgill.ca:443 (No such host is known. )

Related works:
Working Paper: Bootstraping econometric models (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mcl:mclwop:2007-13

Access Statistics for this paper

More papers in Departmental Working Papers from McGill University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Shama Rangwala ( this e-mail address is bad, please contact ).