The Wild Bootstrap, Tamed at Last

41 Pages Posted: 21 Feb 2008

Date Written: February 2001

Abstract

Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. It is shown that some versions can be qualified as &apos'tamed&apos', in the sense that the statistic bootstrapped is asymptotically independent of the distribution of the wild bootstrap DGP. This can, in one very specific case, lead to perfect bootstrap inference, and leads to substantial reduction in the error in the rejection probability of a bootstrap test much more generally. However, the version of the wild bootstrap with this desirable property does not benefit from the skewness correction afforded by the most popular version of the wild bootstrap in the literature. Edgeworth expansions and simulation experiments are used to show why this defect does not prevent the preferred version from having the smallest error in rejection probability in small and medium-sized samples. It is concluded that this preferred version should always be used in practice.

Suggested Citation

Flachaire, Emmanuel, The Wild Bootstrap, Tamed at Last (February 2001). LSE STICERD Research Paper No. 58, Available at SSRN: https://ssrn.com/abstract=1094832

Emmanuel Flachaire (Contact Author)

Aix-Marseille University ( email )

3 Avenue Robert Schuman,
France

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