Template-Type: ReDIF-Paper 1.0

Author-Name: Russell Davidson
Author-X-Name-First: Russell
Author-X-Name-Last: Davidson
Author-Name: Andrea Monticini
Author-X-Name-First: Andrea
Author-X-Name-Last: Monticini
Author-Email: andrea.monticini@unicatt.it
Author-Workplace-Name: Università Cattolica del Sacro Cuore
Author-Workplace-Name: Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore






Title: Bootstrap Performance with Heteroskedasticity.


Abstract: The aim of this paper is to illustrate more than one instance of poor bootstrap performance,
and to see how available diagnostic techniques can indicate reliably when
and how this poor performance can arise. Two particular features that seem to be
important to explain bootstrap discrepancy are illustrated by some Monte Carlo experiments. 
Length: 19
Creation-Date: 2023-11
File-URL: http://dipartimenti.unicatt.it/economia-finanza-def130.pdf
File-Format: Application/pdf
File-Function: First version, 2023
Number: def130
Classification-JEL: C12, C22, C32. 
Keywords: Bootstrap inference, fast double bootstrap, conditional fast double bootstrap, heteroskedasticity.
Handle: RePEc:ctc:serie1:def130