There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as … regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work … very well. However, there are many other cases, such as regression models with dependent errors, in which bootstrap methods …

new tests are bootstrap implementations of score-based tests for the order of integration of a fractionally integrated … using a standard i.i.d. bootstrap admit pivotal asymptotic null distributions in the presence of heteroskedasticity, but … that the corresponding tests based on the wild bootstrap principle do. A Monte Carlo simulation study demonstrates that …

reliable inference near the point at which the limit is ill-defined. Several bootstrap procedures are proposed. They alleviate … bootstrap tests. …

We first propose procedures for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments … without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive as … estimating rejection probabilities for asymptotic tersts. We then propose procedures for computing modified bootstrap P values …

Conventional procedures for Monte Carlo and bootstrap tests require that B, the number of simulations, satisfy a … bootstrap tests, is likely to be most useful when simulation is expensive. …