Fast and wild: Bootstrap inference in Stata using boottest
… Like bootstrap methods in general, the wild bootstrap is especially useful when … a wide
variety of wild bootstrap tests, often at remarkable speed. It can also invert these tests to construct …
variety of wild bootstrap tests, often at remarkable speed. It can also invert these tests to construct …
The wild bootstrap, tamed at last
R Davidson, E Flachaire - Journal of Econometrics, 2008 - Elsevier
… Since in addition, one expects bootstrap tests to behave better in large samples than in
small, in order to stress-test the wild bootstrap, most of our experiments are performed with a …
small, in order to stress-test the wild bootstrap, most of our experiments are performed with a …
Wild bootstrap tests for IV regression
R Davidson, JG MacKinnon - Journal of Business & Economic …, 2010 - Taylor & Francis
… the wild bootstrap. In Section 3, we discuss the asymptotic validity of several tests based on
this new wild bootstrap … -sample performance of the new bootstrap method and some existing …
this new wild bootstrap … -sample performance of the new bootstrap method and some existing …
A score based approach to wild bootstrap inference
… bootstrap studentized test statistic is equivalent to that of the conventional wild bootstrap up
… for Wald and Lagrange Multiplier type tests and tests of moment restrictions for a wide class …
… for Wald and Lagrange Multiplier type tests and tests of moment restrictions for a wide class …
Wild bootstrap tests
J Franke, S Halim - IEEE Signal Processing Magazine, 2007 - ieeexplore.ieee.org
… In this article, we have derived tests based on the wild bootstrap that allow checking for … by
the wild bootstrap and numerically calculated by Monte Carlo simulation. The test is applied to …
the wild bootstrap and numerically calculated by Monte Carlo simulation. The test is applied to …
Bootstrap and wild bootstrap for high dimensional linear models
E Mammen - The annals of statistics, 1993 - projecteuclid.org
… In Section 4 we will show consistency of bootstrapping an F-test statistic under conditions
which in general do not imply the validity of the approximation by an F-distribution. This will …
which in general do not imply the validity of the approximation by an F-distribution. This will …
A wild bootstrap for degenerate kernel tests
KP Chwialkowski, D Sejdinovic… - Advances in neural …, 2014 - proceedings.neurips.cc
… wild bootstrap procedure yields consistent tests for time series, ie, tests based on the wild
bootstrap … construct a two-sample test using MMD, and an independence test using HSIC. The …
bootstrap … construct a two-sample test using MMD, and an independence test using HSIC. The …
The wild bootstrap with a “small” number of “large” clusters
… Our main results concern the use of the wild bootstrap to test hypotheses about a linear
combination of the coefficients in a linear regression model with clustered data. For this …
combination of the coefficients in a linear regression model with clustered data. For this …
Adaptive wild bootstrap tests for a unit root with non‐stationary volatility
HP Boswijk, Y Zu - The Econometrics Journal, 2018 - academic.oup.com
… tests. It has been shown how these size distortions can be resolved using the wild bootstrap…
In this paper, we first derive the asymptotic power envelope for the unit root testing problem …
In this paper, we first derive the asymptotic power envelope for the unit root testing problem …
Wild bootstrap inference for wildly different cluster sizes
JG MacKinnon, MD Webb - Journal of Applied Econometrics, 2017 - Wiley Online Library
… In Section A.4 of the online Appendix, we report results for unrestricted wild bootstrap tests.
They always reject more often than the restricted ones, and they over-reject severely when G …
They always reject more often than the restricted ones, and they over-reject severely when G …