NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Higher Order Properties of the Wild Bootstrap Under Misspecification

Patrick M. Kline, Andres Santos

NBER Working Paper No. 16793
Issued in February 2011
NBER Program(s):   TWP

We examine the higher order properties of the wild bootstrap (Wu, 1986) in a linear regression model with stochastic regressors. We find that the ability of the wild bootstrap to provide a higher order refinement is contingent upon whether the errors are mean independent of the regressors or merely uncorrelated. In the latter case, the wild bootstrap may fail to match some of the terms in an Edgeworth expansion of the full sample test statistic, potentially leading to only a partial refinement (Liu and Singh, 1987). To assess the practical implications of this result, we conduct a Monte Carlo study contrasting the performance of the wild bootstrap with the traditional nonparametric bootstrap.

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Document Object Identifier (DOI): 10.3386/w16793

Published: Kline, Patrick & Santos, Andres, 2012. "Higher order properties of the wild bootstrap under misspecification," Journal of Econometrics, Elsevier, vol. 171(1), pages 54-70.

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