The bootstrap in econometrics

By Joel L. Horowitz. 2003

141 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/94e6b897536967d9ed8a9a500e309c932cecd4c5

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Citations in the corpus

A comparison of approaches to estimating confidence intervals for willingness to pay measures. (2007, methodology): “[ 13 ]). The bootstrap is similar to the Krinsky and Robb method in that a simulated distribution for the variable of interest is generated.”
On estimating firm-level production functions using proxy variables to control for unobservables (2009, background): “[See, for example, Horowitz (2001) .] Because the”
Can Hedge Funds Time Market Liquidity (2012, unknown): “We conduct our bootstrap analysis mainly for t-statistics of the timing coefficient (i.e., tγ), because t-statistic is a pivotal statistic and has favorable sampling properties in bootstrap analysis (e.g., Horowitz, 2001).”
Testing for duration dependence in economic cycles (2004, unknown): “Horowitz (2001) provides a highly readable account of why it is generally desirable to use pivotal statistics when bootstrapping.”
Bootstrap Hypothesis Testing (2007, methodology): “Surveys of these methods include Bühlmann (2002), Horowitz (2003), Politis (2003), and Härdle, Horowitz, and Kreiss (2003).”
On measuring synchronization of bulls and bears: The case of East Asia (2008, background): “The asymptotic pivotality of both tests and the fact that they are continuous functions of sample moments are sucient to ensure proper convergence of the bootstrapped critical values to the true asymptotic distribution, see e.g. Horowitz (2001) .”
Market Response to European Regulation of Business Combinations (2004, unknown): “As Horowitz (2001) shows, this substantially improves the speed of convergence of the estimated p-value and does not rely on normality.”
Market Valuation and Acquisition Quality: Empirical Evidence (2009, methodology): “To preserve the dependence structure of the original data we create bootstrap samples via the block bootstrap procedure outlined in Horowitz (2003). In the block bootstrap procedure, the original data are divided into blocks.”
The Al Gore effect: An Inconvenient Truth and voluntary carbon offsets (2011, background): “03 for treatment and control zip codes, respectively.(17)”
Bootstrap Methods in Econometrics (2006, unknown): “It is possible to perform exact Monte Carlo tests even when α(B+1) is not an integer— see Racine and MacKinnon (2004)— but it is only worth the trouble if simulation is very expensive.”
The Impact of Moral Stress Compared to Other Stressors on Employee Fatigue, Job Satisfaction, and Turnover: An Empirical Investigation (2012, methodology): “Bootstrapping is commonly used in econometrics and finance to test the heteroscedasticity and overall significance of statistical results (Horowitz 2003; Judge et al. 1982).”