Bootstrap Methods in Econometrics

J. MacKinnon
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引用次数: 171

Abstract

There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as regression models with dependent errors, in which bootstrap methods do not always work well. This paper discusses a large number of bootstrap methods that can be useful in econometrics. Applications to hypothesis testing are emphasized, and simulation results are presented for a few illustrative cases.
计量经济学中的Bootstrap方法
有许多可用于计量经济分析的自举方法。在某些情况下,例如具有独立和相同分布的误差项的回归模型,适当选择的自举方法通常工作得很好。然而,还有许多其他情况,例如具有相关误差的回归模型,其中自举方法并不总是工作得很好。本文讨论了计量经济学中大量有用的自举方法。强调了在假设检验中的应用,并给出了几个示例的仿真结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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