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Evaluation of a three-step method for choosing the number of bootstrap repetitions

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  • Andrews, Donald W. K.
  • Buchinsky, Moshe

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  • Andrews, Donald W. K. & Buchinsky, Moshe, 2001. "Evaluation of a three-step method for choosing the number of bootstrap repetitions," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 345-386, July.
    • Handle: RePEc:eee:econom:v:103:y:2001:i:1-2:p:345-386
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    References listed on IDEAS

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    1. Andrews, Donald W.K. & Buchinsky, Moshe, 2002. "ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS," Econometric Theory, Cambridge University Press, vol. 18(4), pages 962-984, August.
    2. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    3. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
    4. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
    5. Donald W. K. Andrews & Moshe Buchinsky, 2000. "A Three-Step Method for Choosing the Number of Bootstrap Repetitions," Econometrica, Econometric Society, vol. 68(1), pages 23-52, January.
    6. Buchinsky, Moshe, 1995. "Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study," Journal of Econometrics, Elsevier, vol. 68(2), pages 303-338, August.
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    Cited by:

    1. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2016. "Insurance Market Development and Economic Growth in Transition Countries: Some new evidence based on bootstrap panel Granger causality test," MPRA Paper 69051, University Library of Munich, Germany.
    2. Jasmin Kantarevic & Boris Kralj, 2013. "Link Between Pay For Performance Incentives And Physician Payment Mechanisms: Evidence From The Diabetes Management Incentive In Ontario," Health Economics, John Wiley & Sons, Ltd., vol. 22(12), pages 1417-1439, December.
    3. Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011. "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 27(5), pages 957-991, October.
    4. DUGUET Emmanuel, 2004. "Are R&D subsidies a substitute or a complement to privately funded R&D? Evidence from France using propensity score methods for non- experimental data," Public Economics 0411007, University Library of Munich, Germany.
    5. John C. Ham & Xianghong Li & Patricia B. Reagan, 2004. "Propensity Score Matching, a Distance-Based Measure of Migration, and the Wage Growth of Young Men," IEPR Working Papers 05.13, Institute of Economic Policy Research (IEPR).
    6. Chwila Adam & Żądło Tomasz, 2020. "On the choice of the number of Monte Carlo iterations and bootstrap replicates in Empirical Best Prediction," Statistics in Transition New Series, Statistics Poland, vol. 21(2), pages 35-60, June.
    7. Jasmin Kantarevic & Boris Kralj, 2016. "Physician Payment Contracts in the Presence of Moral Hazard and Adverse Selection: The Theory and Its Application in Ontario," Health Economics, John Wiley & Sons, Ltd., vol. 25(10), pages 1326-1340, October.
    8. Streukens, Sandra & Leroi-Werelds, Sara, 2016. "Bootstrapping and PLS-SEM: A step-by-step guide to get more out of your bootstrap results," European Management Journal, Elsevier, vol. 34(6), pages 618-632.
    9. Adam Chwila & Tomasz Żądło, 2020. "On the choice of the number of Monte Carlo iterations and bootstrap replicates in Empirical Best Prediction," Statistics in Transition New Series, Polish Statistical Association, vol. 21(2), pages 35-60, June.
    10. Guastella, G. & Moro, D. & Sckokai, P. & Veneziani, M., 2013. "CAP Effects on Agricultural Investment Demand in Europe," 2013: Productivity and Its Impacts on Global Trade, June 2-4, 2013. Seville, Spain 152256, International Agricultural Trade Research Consortium.
    11. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
    12. Giuseppe Cavaliere & A. M. Robert Taylor, 2009. "Bootstrap M Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 393-421.
    13. Tobias Nigbur, 2015. "Calls of convertible debt securities: no bad news at all," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 61-79, February.
    14. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
    15. Guilherme Resende Oliveira & Benjamin Miranda Tabak & José Guilherme de Lara Resende & Daniel Oliveira Cajueiro, 2012. "Determinantes da Estrutura de Capital das Empresas Brasileiras: uma abordagem em regressão quantílica," Working Papers Series 272, Central Bank of Brazil, Research Department.
    16. Ham, John C. & Li, Xianghong & Reagan, Patricia B., 2011. "Matching and semi-parametric IV estimation, a distance-based measure of migration, and the wages of young men," Journal of Econometrics, Elsevier, vol. 161(2), pages 208-227, April.
    17. Huang, Liqing & Zhu, Bangzhu & Wang, Ping & Chevallier, Julien, 2022. "Energy out-of-poverty and inclusive growth: Evidence from the China health and nutrition survey," Structural Change and Economic Dynamics, Elsevier, vol. 60(C), pages 344-352.
    18. Sandy Suardi, 2012. "When the US sneezes the world catches cold: are worldwide stock markets stable?," Applied Financial Economics, Taylor & Francis Journals, vol. 22(23), pages 1961-1978, December.
    19. Axel Gandy & Georg Hahn & Dong Ding, 2020. "Implementing Monte Carlo tests with p‐value buckets," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 950-967, September.
    20. Śmiech, Sławomir & Papież, Monika, 2014. "Energy consumption and economic growth in the light of meeting the targets of energy policy in the EU: The bootstrap panel Granger causality approach," Energy Policy, Elsevier, vol. 71(C), pages 118-129.
    21. Liu Yuan & Bottai Matteo, 2009. "Mixed-Effects Models for Conditional Quantiles with Longitudinal Data," The International Journal of Biostatistics, De Gruyter, vol. 5(1), pages 1-24, November.
    22. Guastella, Giovanni & Moro, Daniele & Sckokai, Paolo & Veneziani, Mario, 2013. "Investment behaviour of EU arable crop farms in selected EU countries and the impact of policy reforms," Working papers 152083, Factor Markets, Centre for European Policy Studies.
    23. Monika Papiez & Slawomir Smiech, 2013. "Economic Growth and Energy Consumption in Post-Communist Countries: a Bootstrap Panel Granger Causality Analysis," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 51-68.
    24. Meng-Shiuh Chang & Teng-Yuan Hu & Ching-Yuan Lin, 2016. "Variation in Engel's law across quantiles in Taiwan: toward an alternative concept of near poverty line," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 21(1), pages 103-115, January.
    25. Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2015. "Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 603-629, September.

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