Fast and wild: Bootstrap inference in Stata using boottest

D Roodman, MØ Nielsen, JG MacKinnon… - The Stata …, 2019 - journals.sagepub.com
… 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 …

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 …

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 …

A score based approach to wild bootstrap inference

P Kline, A Santos - Journal of Econometric Methods, 2012 - degruyter.com
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 …

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 …

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 …

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 …

The wild bootstrap with a “small” number of “large” clusters

IA Canay, A Santos, AM Shaikh - Review of Economics and Statistics, 2021 - direct.mit.edu
… 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 …

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 …

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 …