This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals … are included. The results establish that the bootstrap provides higher-order improvements over the delta method. Analogous …-likelihood. The magnitudes of the coverage probability errors for one-sided bootstrap CIs for covariance parameters for long …

than the confidence regions that can be constructed from the smoothed bootstrap method recently suggested by Horowitz (1998). …

This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors … desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate …, confidence interval endpoint(s), test's critical value, or test's p-value based on B bootstrap simulations from the corresponding …

This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and … MacKinnon (1999a), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the … standard bootstrap for statistics based on nonlinear extremum estimators, such as generalized method of moment and maximum …

This chapter discusses simulation estimation methods that overcome the computational intractability of classical … estimation of limited dependent variable models with flexible correlation structures in the unobservable stochastic terms. These …

application, we simulate estimation of a random quasilinear utility function, where we apply our tests of independence. …

. The estimation method is applied to analyze a model in which the incidence and the extent of debt repayments problems of …

This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously …

-t, parametric bootstrap confidence intervals for Markov time series processes. These bounds show that the parametric bootstrap for … comparable to those obtained by the parametric and nonparametric bootstrap for iid data and are better than those obtained by the … block bootstrap for time series. Additional results are given for Wald-based confidence regions. The paper also shows that k …