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Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap

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Cited by:

  1. Ferreira, Simão & Campos, Carlos & Marinho, Beatriz & Rocha, Susana & Fonseca-Pedrero, Eduardo & Barbosa Rocha, Nuno, 2022. "What drives beliefs in COVID-19 conspiracy theories? The role of psychotic-like experiences and confinement-related factors," Social Science & Medicine, Elsevier, vol. 292(C).
  2. Patrick Bayer & Stephen L. Ross & Giorgio Topa, 2008. "Place of Work and Place of Residence: Informal Hiring Networks and Labor Market Outcomes," Journal of Political Economy, University of Chicago Press, vol. 116(6), pages 1150-1196, December.
  3. Ventura Charlin & Arturo Cifuentes, 2017. "On the correlation between stocks and art market returns," Applied Economics Letters, Taylor & Francis Journals, vol. 24(2), pages 128-131, January.
  4. James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
  5. Olivier Armantier, 2006. "Estimates of Own Lethal Risks and Anchoring Effects," Journal of Risk and Uncertainty, Springer, vol. 32(1), pages 37-56, January.
  6. Emmanuel Flachaire, 2005. "More Efficient Tests Robust to Heteroskedasticity of Unknown Form," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 219-241.
  7. Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
  8. Yue Zhang & Ben Boukai, 2022. "Recycled two-stage estimation in nonlinear mixed effects regression models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(3), pages 551-585, September.
  9. Francisco Cribari-Neto & Maria Lima, 2010. "Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 1053-1082, December.
  10. Rojas-Perilla, Natalia & Pannier, Sören & Schmid, Timo & Tzavidis, Nikos, 2017. "Data-driven transformations in small area estimation," Discussion Papers 2017/30, Free University Berlin, School of Business & Economics.
  11. Riccardo Ferretti & Andrea Cipollini & Francesco Pattarin, 2016. "Can an unglamorous non-event affect prices? The role of newspapers," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1142847-114, December.
  12. repec:lan:wpaper:2454 is not listed on IDEAS
  13. repec:lan:wpaper:2375 is not listed on IDEAS
  14. Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-40, May.
  15. Senay Sokullu, 2012. "Nonparametric Analysis of Two-Sided Markets," Bristol Economics Discussion Papers 12/628, School of Economics, University of Bristol, UK.
  16. Eva Boj & Teresa Costa & Josep Fortiana & Anna Esteve, 2015. "Assessing the Importance of Risk Factors in Distance-Based Generalized Linear Models," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 951-962, December.
  17. Kathryn Graddy & Lara Loewenstein & Jianping Mei & Mike Moses & Rachel A. J. Pownall, 2023. "Empirical evidence of anchoring and loss aversion from art auctions," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 47(2), pages 279-301, June.
  18. Yang He & Otávio Bartalotti, 2020. "Wild bootstrap for fuzzy regression discontinuity designs: obtaining robust bias-corrected confidence intervals," The Econometrics Journal, Royal Economic Society, vol. 23(2), pages 211-231.
  19. Kathryn Graddy & Lara Loewenstein & Jianping Mei & Mike Moses & Rachel A J Pownall, 2014. "Anchoring or Loss Aversion? Empirical Evidence from Art Auctions," ACEI Working Paper Series AWP-04-2014, Association for Cultural Economics International, revised Jun 2014.
  20. repec:lan:wpaper:2373 is not listed on IDEAS
  21. Carolina Laureti & Ariane Szafarz, 2016. "The price of deposit liquidity: banks versus microfinance institutions," Applied Economics Letters, Taylor & Francis Journals, vol. 23(17), pages 1244-1249, November.
  22. Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
  23. Martin A. Lindquist, 2012. "Functional Causal Mediation Analysis With an Application to Brain Connectivity," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(500), pages 1297-1309, December.
  24. Torben Klarl, 2014. "Is Spatial Bootstrapping A Panacea For Valid Inference?," Journal of Regional Science, Wiley Blackwell, vol. 54(2), pages 304-312, March.
  25. Milena Trifunovic-Koenig & Stefan Bushuven & Bianka Gerber & Baerbel Otto & Markus Dettenkofer & Florian Salm & Martin R. Fischer, 2022. "Correlation between Overconfidence and Learning Motivation in Postgraduate Infection Prevention and Control Training," IJERPH, MDPI, vol. 19(9), pages 1-20, May.
  26. Nicolas DEBARSY & Cem ERTUR, 2016. "Interaction matrix selection in spatial econometrics with an application to growth theory," LEO Working Papers / DR LEO 2172, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  27. Debarsy, Nicolas & Ertur, Cem, 2019. "Interaction matrix selection in spatial autoregressive models with an application to growth theory," Regional Science and Urban Economics, Elsevier, vol. 75(C), pages 49-69.
  28. Ross, Stephen L. & Turner, Margery Austin & Godfrey, Erin & Smith, Robin R., 2008. "Mortgage lending in Chicago and Los Angeles: A paired testing study of the pre-application process," Journal of Urban Economics, Elsevier, vol. 63(3), pages 902-919, May.
  29. Kim, Jae H. & Shamsuddin, Abul, 2020. "A bootstrap test for predictability of asset returns," Finance Research Letters, Elsevier, vol. 35(C).
  30. Jinook Jeong & Byunguk Kang, 2012. "Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(7), pages 1531-1542, January.
  31. Fallesen, Peter & Geerdsen, Lars Pico & Imai, Susumu & Tranæs, Torben, 2018. "The effect of active labor market policies on crime: Incapacitation and program effects," Labour Economics, Elsevier, vol. 52(C), pages 263-286.
  32. Elias Christopher J., 2015. "Percentile and Percentile-t Bootstrap Confidence Intervals: A Practical Comparison," Journal of Econometric Methods, De Gruyter, vol. 4(1), pages 153-161, January.
  33. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April.
  34. Kreutzmann, Ann-Kristin & Pannier, Sören & Rojas-Perilla, Natalia & Schmid, Timo & Templ, Matthias & Tzavidis, Nikos, 2017. "The R package emdi for estimating and mapping regionally disaggregated indicators," Discussion Papers 2017/15, Free University Berlin, School of Business & Economics.
  35. Phong Minh Nguyen & Darren Henry & Jae H. Kim & Sisira Colombage, 2024. "Estimation of Optimal Hedge Ratio: A Wild Bootstrap Approach," JRFM, MDPI, vol. 17(7), pages 1-26, July.
  36. Badi H. Baltagi & Chihwa Kao & Long Liu, 2013. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(3), pages 241-270, September.
  37. Sara DeLoughy, 2012. "Risk versus Demographics in Subprime Mortgage Lending: Evidence from Three Connecticut Cities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 569-587, October.
  38. Pötscher, Benedikt M. & Preinerstorfer, David, 2023. "How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?," Econometric Theory, Cambridge University Press, vol. 39(4), pages 789-847, August.
  39. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
  40. Matthew D. Webb, 2023. "Reworking wild bootstrap‐based inference for clustered errors," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(3), pages 839-858, August.
  41. Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
  42. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
  43. Eric Blankmeyer, 2013. "Exploring Theil's best linear indexes," Applied Economics Letters, Taylor & Francis Journals, vol. 20(5), pages 462-465, March.
  44. Manolopoulos Dimitris & Salavou Helen & Papadopoulos Andrew & Xenakis Michail, 2024. "Strategic Decision-Making and Performance in Social Enterprises: Process Dimensions and the Influence of Entrepreneurs’ Proactive Personality," Entrepreneurship Research Journal, De Gruyter, vol. 14(2), pages 631-675, April.
  45. Bryan D. MacGregor & Rainer Schulz & Yuan Zhao, 2021. "Performance and Market Maturity in Mutual Funds: Is Real Estate Different?," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 437-492, October.
  46. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
  47. DiCiccio, Cyrus J. & Romano, Joseph P. & Wolf, Michael, 2019. "Improving weighted least squares inference," Econometrics and Statistics, Elsevier, vol. 10(C), pages 96-119.
  48. Inês Lapa & Simão Ferreira & Catarina Mateus & Nuno Rocha & Matilde A. Rodrigues, 2023. "Real-Time Blink Detection as an Indicator of Computer Vision Syndrome in Real-Life Settings: An Exploratory Study," IJERPH, MDPI, vol. 20(5), pages 1-11, March.
  49. Friedrich, Sarah & Konietschke, Frank & Pauly, Markus, 2017. "A wild bootstrap approach for nonparametric repeated measurements," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 38-52.
  50. Deschepper, E. & Thas, O. & Ottoy, J.P., 2006. "Regional residual plots for assessing the fit of linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 1995-2013, April.
  51. repec:lan:wpaper:2596 is not listed on IDEAS
  52. Lee, Taewook, 2016. "Wild bootstrap Ljung–Box test for cross correlations of multivariate time series," Economics Letters, Elsevier, vol. 147(C), pages 59-62.
  53. Adel Necib & Jarboui Anis, 2023. "The Effect of Corporate Governance Mechanisms on Integrated Reporting (IR) Quality: The Case of FTSE100 Companies," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 13(2), pages 105-131.
  54. Hollander, Hilke & Prokop, Jörg, 2015. "Stock price effects of asset securitization: The case of liquidity facility providers," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 147-160.
  55. Eric S. Lin & Ta-Sheng Chou, 2018. "Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 1-28, January.
  56. Rasmus Landersø, 2015. "Does Incarceration Length Affect Labor Market Outcomes?," Journal of Law and Economics, University of Chicago Press, vol. 58(1), pages 205-234.
  57. Yamile Díaz Torres & Paride Gullo & Hernán Hernández Herrera & Migdalia Torres del Toro & Mario A. Álvarez Guerra & Jorge Iván Silva Ortega & Arne Speerforck, 2022. "Statistical Analysis of Design Variables in a Chiller Plant and Their Influence on Energy Consumption and Life Cycle Cost," Sustainability, MDPI, vol. 14(16), pages 1-19, August.
  58. Jianghao Chu & Tae-Hwy Lee & Aman Ullah & Haifeng Xu, 2020. "Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference," Working Papers 202027, University of California at Riverside, Department of Economics.
  59. Osbat, Chiara & Corbo, Vesna, 2012. "Optimism bias? The elasticity puzzle in international economics revisited," Working Paper Series 1482, European Central Bank.
  60. Peter S. Schmidt & Therese Werner, 2012. "Channeling the final Say in Politics," CER-ETH Economics working paper series 12/165, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  61. Eric Blankmeyer, 2018. "Measurement Errors as Bad Leverage Points," Papers 1807.02814, arXiv.org, revised Mar 2020.
  62. Michael J. Peel, 2014. "Addressing unobserved endogeneity bias in accounting studies: control and sensitivity methods by variable type," Accounting and Business Research, Taylor & Francis Journals, vol. 44(5), pages 545-571, October.
  63. Pavlidis Efthymios G. & Paya Ivan & Peel David A., 2013. "Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 297-312, May.
  64. Oc, Burak & Daniels, Michael A. & Diefendorff, James M. & Bashshur, Michael R. & Greguras, Gary J., 2020. "Humility breeds authenticity: How authentic leader humility shapes follower vulnerability and felt authenticity," Organizational Behavior and Human Decision Processes, Elsevier, vol. 158(C), pages 112-125.
  65. Cyrus J. DiCiccio & Joseph P. Romano & Michael Wolf, 2016. "Improving weighted least squares inference," ECON - Working Papers 232, Department of Economics - University of Zurich, revised Nov 2017.
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