Higher Order Properties of the Wild Bootstrap Under Misspecification / Patrick M. Kline, Andres Santos.

Format:

Book

Author/Creator:

Kline, Patrick M.

Contributor:

National Bureau of Economic Research.

Santos, Andres.

Series:

Working Paper Series (National Bureau of Economic Research) no. w16793.

NBER working paper series no. w16793

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2011.

Summary:

We examine the higher order properties of the wild bootstrap (Wu, 1986) in a linear regression model with stochastic regressors. We find that the ability of the wild bootstrap to provide a higher order refinement is contingent upon whether the errors are mean independent of the regressors or merely uncorrelated. In the latter case, the wild bootstrap may fail to match some of the terms in an Edgeworth expansion of the full sample test statistic, potentially leading to only a partial refinement (Liu and Singh, 1987). To assess the practical implications of this result, we conduct a Monte Carlo study contrasting the performance of the wild bootstrap with the traditional nonparametric bootstrap.

Notes:

Print version record

February 2011.