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Bootstrap Hypothesis Testing

Author

Listed:
  • James G. MacKinnon

    (Queen's University)

Abstract
This paper surveys bootstrap and Monte Carlo methods for testing hypothesesin econometrics. Several different ways of computing bootstrap P valuesare discussed, including the double bootstrap and the fast double bootstrap.It is emphasized that there are many different procedures for generatingbootstrap samples for regression models and other types of model. As anillustration, a simulation experiment examines the performance of severalmethods of bootstrapping the supF test for structural change with an unknownbreak point.

Suggested Citation

  • James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Paper 1127, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:1127
    as

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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1127.pdf
    File Function: First version 2007
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    bootstrap test; supF test; wild bootstrap; pairs bootstrap; moving block bootstrap; residual bootstrap; bootstrap P value;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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