Bootstrap Hypothesis Testing

Abstract

This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that there are many different procedures for generating bootstrap samples for regression models and other types of model. As an illustration, a simulation experiment examines the performance of several methods of bootstrapping the supF test for structural change with an unknown break point.

On the efficiency of intra-industry information transfers: The dilution of the overreaction anomaly

“…The relevant test statistics under the null hypothesis are derived and the process is repeated 10,000 times to generate a bootstrap distribution for each test statistic. For hypothesis testing, we obtain a bootstrap p-value as the proportion of the test statistics from the null hypothesis distribution that are more extreme than the observed test statistic (Davidson and MacKinnon, 2006;MacKinnon, 2009). Results in Table 6 provide further support for our previous Table 4 results confirming the significant difference in the coefficients of RESP between the 1993-2001 and the Table 7 Regressions of ARET on RESP and tests of RESP coefficients between subsamples (2-dimension clustering procedures).…”

OPEC's Market Power: An Empirical Dominant Firm Model for the Oil Market

“…(13) . For the jth repetition, we use the empirical distribution of the predicted errors (Fox, 2008;MacKinnon et al, 2009):…”

Is Spatial Bootstrapping a Panacea for Valid Inference?

“…One of the widely known and applied bootstrap Data Generating Processes (DGP)s are the residual bootstrap, pairs bootstrap and wild bootstrap. As noted by MacKinnon (), in the case of heteroskedastic errors, the residual bootstrap cannot be used, as this methods assumes independent and identically distributed errors. As we assume heteroskedastic errors and high leverage observations (see Sections and , in the following we exclusively concentrate on the pairs and wild bootstrap.…”