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Implementing the wild bootstrap using a two-point distribution

dc.contributor.authorDavidson, Jamesen_GB
dc.contributor.authorMonticini, Andreaen_GB
dc.contributor.authorPeel, Daviden_GB
dc.contributor.departmentUniversity of Exeter; University of Lancaster (Peel)en_GB
dc.date.accessioned2008-07-15T11:11:50Zen_GB
dc.date.accessioned2011-01-25T10:25:29Zen_GB
dc.date.accessioned2013-03-19T15:55:39Z
dc.date.issued2007-05-21en_GB
dc.description.abstractWe 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.en_GB
dc.identifier.citationVol. 96 (3) 309-315en_GB
dc.identifier.doi10.1016/j.econlet.2007.01.020en_GB
dc.identifier.urihttp://hdl.handle.net/10036/32015en_GB
dc.language.isoenen_GB
dc.publisherElsevieren_GB
dc.subjectWild bootstrapen_GB
dc.subjectTwo-point distributionen_GB
dc.subjectHeteroscedasticityen_GB
dc.subjectSkewnessen_GB
dc.titleImplementing the wild bootstrap using a two-point distributionen_GB
dc.typeArticleen_GB
dc.date.available2008-07-15T11:11:50Zen_GB
dc.date.available2011-01-25T10:25:29Zen_GB
dc.date.available2013-03-19T15:55:39Z
dc.identifier.issn0165-1765en_GB
dc.descriptionPre-print; version dated June 2006en_GB
dc.identifier.journalEconomics Lettersen_GB


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