Bootstraping econometric models

Russell Davidson (1, 2, 3)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 CIREQ - Centre interuniversitaire de recherche en économie quantitative
3 Department of Economics [Montréal]

The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two “Golden Rules” are formulated that, if observed, help to obtain the best the bootstrap can offer. Bootstrapping always involves setting up a bootstrap data-generating process (DGP). The main types of bootstrap DGP in current use are discussed, with examples of their use in econometrics. The ways in which the bootstrap can be used to construct confidence sets differ somewhat from methods of hypothesis testing. The relation between the two sorts of problem is discussed.

Mots clés: Bootstrap; hypothesis test; confidence set

Domaines: Economies et finances

Russell Davidson. Bootstraping econometric models. 2009. ⟨halshs-00442693⟩