This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …

This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator …

intraday random variables. We discuss sufficient conditions for a dependent bootstrap to consistently and non …

, studentized bootstrap intervals based on the wild cluster bootstrap, and restricted bootstrap intervals obtained by inverting … bootstrap Wald and LM tests. It also studies the choice of an auxiliary distribution for the wild bootstrap, a modified … covariance matrix based on transforming the residuals, which was proposed previously, and modified wild bootstrap procedures …

cluster bootstrap fails dramatically when the number of treated clusters is very small. We propose a family of new procedures … called the sub- cluster wild bootstrap. In the case of pure treatment models, where all the observations in each cluster are …

conditional heteroskedasticity. We show that the wild bootstrap provides convenient critical values for the considered OLS …-based statistics under both homoskedastic and conditionally heteroskedastic model errors. The wild bootstrap is easy to implement and … approximations. We prove further that the wild bootstrap retains its validity for inference within a system of pooled equations …

bootstrap. Simulation evidence shows that the proposed panel tests improve considerably on asymptotic tests applied to … reject the null of stability, the bootstrap panel tests lead to the more plausible conclusion that the long-run relationship …

bootstrap. Simulation evidence shows that the proposed panel tests improve considerably on asymptotic tests applied to … cases do not reject the null of stability, the bootstrap panel tests lead to the more plausible conclusion that the long …