Estimation and Inference in Econometrics
Bibliographic Data
| ID | 9725157 |
|---|---|
| Authors | James Davidson (Queen's University, corresponding author), Russell Davidson (0000-0003-4214-5198), James G MacKinnon (0000-0002-5457-294X, Queen's University, corresponding author) |
| Year | 1995 |
| Volume | 62 |
| Issue | 245 |
| Pages | 133 |
| Publication date | 1995-02-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Economica (JOURNAL) |
| Journal identifiers | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Publisher | JSTOR (PUBLISHER) |
| DOI | 10.2307/2554780 |
| OpenAlex | W4230682695 |
| Language | EN |
| Citations received | 5 |
| References cited | 16 |
The astonishing increase in computer performance over the past two decades has made it possible for economists to base many statistical inferences on simulated, or bootstrap, distributions rather than on distributions obtained from asymptotic theory. In this paper, I review some of the basic ideas of bootstrap inference. The paper discusses Monte Carlo tests, several types of bootstrap test, and bootstrap confidence intervals. Although bootstrapping often works well, it does not do so in every case
Econometrics · Economics · Estimation · Inference · Advanced Statistical Methods and Models · Artificial Intelligence · Computer Science · Forecasting Techniques and Applications
An Introduction to the Bootstrap
The Jackknife, the Bootstrap and Other Resampling Plans
Bootstrap Methods and their Application
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
Optimal Replacement of GMC Bus Engines
Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
Bootstrap confidence intervals
Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
Several Tests for Model Specification in the Presence of Alternative Hypotheses
Unit Root Tests in Arma Models with Data-Dependent Methods for the Selection of the Truncation Lag
Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables
Estimation and inference in econometrics
Bootstrap Testing in Nonlinear Models
Fast Double Bootstrap Tests of Nonnested Linear Regression Models
Bootstrap tests
The Size Distortion of Bootstrap Tests
| Unique citing works | 5 |
|---|---|
| Citations per year | 0,19 |
| Citation span | 1999 - 2006 (8) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 5 |