Bootstrap inference in econometrics

被引：142
|
作者：
MacKinnon, JG [1 ]
机构：
[1] Queens Univ, Dept Econ, Kingston, ON K7L 3N6, Canada
来源：
CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE | 2002年 / 35卷 / 04期
关键词：
D O I：
10.1111/0008-4085.00147
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The astonishing increase in computer performance over the past two decades has made it possible for economists to base many statistical inferences on simulated, or bootstrap, distributions rather than on distributions obtained from asymptotic theory. In this paper, I review some of the basic ideas of bootstrap inference. I discuss Monte Carlo tests, several types of bootstrap test, and bootstrap confidence intervals. Although bootstrapping often works well, it does not do so in every case.
引用
收藏
页码：615 / 645
页数：31
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