Bootstrap Methods in Econometrics

By James G. M ac Kinnon. 2006

183 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/33356e06d584ecc40e27c24d931940f2f2a3f1c8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Statistics and Probability

Citations in the corpus

The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators (2018, unknown): “Concerning confidence intervals, computation is based on the following formula, see MacKinnon (2006)”
How Arbitrage-Free is the Nelson-Siegel Model? (2011, background): “Pivot statistics do not depend on nuisance parameters of the model and therefore, in a parametric setting, they provide more reliable statistical results than what is obtained constructing confidence intervals directly on the parameters of interest, see Davidson and MacKinnon (2006) .”
Investor Sentiment, Limits to Arbitrage and Private Market Returns (2014, background): “MacKinnon (2006) points out that these two approaches could very well lead to significantly different results if the mean value of the simulated t-statistics is vastly different from zero.”
Bootstrap Hypothesis Testing (2007, methodology): “Comparing the power of tests that do not have the correct size is fraught with difficulty; see Davidson and MacKinnon (2006a).”
Wild Bootstrap Inference for Wildly Different Cluster Sizes (2013, background): “(5) Equation (4) yields a symmetric bootstrap P value, and equation (5) yields an equaltailed bootstrap P value; see MacKinnon (2006).”
Bootstrap inference in a linear equation estimated by instrumental variables (2008, methodology): “For any bootstrapping procedure, the first task, and usually the most important one, is to choose a suitable bootstrap DGP; see Davidson and MacKinnon (2006a).”
Is Stress Worth it? Stress‐Related Health and Wealth Trade‐Offs for Entrepreneurs (2015, background): “Our analysis suggests that for the key variables of stress, health, and income, the estimates are unbiased and can therefore be reported, with correction for potential reverse causality (Davidson & MacKinnon, 2006).”
Estimating spillovers using panel data, with an application to the classroom (2012, unknown): “For additional details on the wild bootstrap see Davidson and MacKinnon (2006).”
Improving Size and Power in Unit Root Testing (2005, background): “for unit root tests (e.g., Park, 2002, 2003; Paparoditis and Politis, 2003; Davidson and MacKinnon, 2005).”
Preference Elicitation under Oath (2010, unknown): “To account for asymmetry in the empirical distribution, we computed an equal-tail bootstrap p-value (see Davidson and MacKinnon, 2006).”
Trade Liberalization and Regional Dynamics (2017, unknown): “We estimate (6) using the iterative algorithm described by Arcidiacono, Foster, Goodpaster and Kinsler (2012) and calculate standard errors using the wild bootstrap method suggested by Davidson and MacKinnon (2006), with 500 iterations.”
Bootstrap Tests for Regression Models (2009, methodology): “When deriving bootstrap HAC tests, researchers, for example, Fitzenberger (1998), have used a moving (overlapping) block bootstrap, as discussed in Künsch (1989). Since a test statistic like W of (5.”
Sensitivity of Matching-Based Program Evaluations to the Availability of Control Variables (2013, methodology): “It is implemented following MacKinnon (2006) by bootstrapping the p-values of the t-statistic directly based on symmetric rejection regions.”