A Parametric Bootstrap Using the First Four Moments of the Residuals

  • Pierre-Eric TREYENS
  • Published 2009

Abstract

We consider linear regression models and we suppose that disturbances are either Gaussian or nonGaussian. Until now, within the framework of the bootstrap, we thought that the error in rejection probability (ERP) had the same rate of convergence with the parametric bootstrap or the nonparametric bootstrap. For linear data generating processes (DGP) we show… (More)

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