Higher order properties of the wild bootstrap under misspecification

DOI10.1016/J.JECONOM.2012.06.001zbMATH Open1443.62114OpenAlexW2053727223MaRDI QIDQ528076FDOQ528076

Andres Santos, Patrick Kline

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001480

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zbMATH Keywords

Edgeworth expansionmisspecificationwild bootstrap

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Cites Work

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Cited In (8)

• Agnostic notes on regression adjustments to experimental data: reexamining Freedman's critique
• A WILD BOOTSTRAP FOR DEPENDENT DATA
• Bootstrap confidence sets under model misspecification
• Robust heteroskedasticity-robust tests
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• Asymptotic theory and wild bootstrap inference with clustered errors
• Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
• Bootstrap inference under cross‐sectional dependence

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