Implementing the wild bootstrap using a two-point distribution
University of Exeter; University of Lancaster (Peel)
We consider how to select the auxiliary distribution to implement the wild bootstrap for regressions featuring heteroscedasticity of unknown form. We propose a new class of two-point distributions and suggest using the Kolmogorov–Smirnov statistic as a selection criterion.
Pre-print; version dated June 2006
Economics Letters (2007) 96 (3) 309-315