Diagnostics for the bootstrap and fast double bootstrap

DOI10.1080/07474938.2017.1307918MaRDI QIDQ5864660zbMATH OpenOpenAlexFDO

Authors Russell Davidson

Publication date 8 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2017.1307918

zbMATH Keywords

autocorrelation of unknown formbootstrapdiagnostics for bootstrapfast double bootstraptime series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Bootstrap diagnostics and remedies
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Diagnosing bootstrap success
• FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS
• Bootstrap Methods for Time Series

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Autoregressive-aided periodogram bootstrap for time series
• Block Bootstraps for Time Series With Fixed Regressors
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap procedures under some non-i.i.d. models
• Bootstraps for time series
• Diagnosing bootstrap success
• Discussion of S.G. Donald et al. and R. Davidson
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Jackknife, bootstrap and other resampling methods in regression analysis
• On blocking rules for the bootstrap with dependent data
• Resampling methods for dependent data
• Sieve bootstrap for time series
• Statistical inference in the presence of heavy tails
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• The bootstrap and Edgeworth expansion
• The dependent wild bootstrap
• The jackknife and the bootstrap for general stationary observations
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• The wild bootstrap, tamed at last
• Theoretical comparisons of block bootstrap methods

Cited in

(2)

• Improving the reliability of bootstrap tests with the fast double bootstrap
• The fast iterated bootstrap

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