tailored to handle heteroskedasticity. Our results show that weighted bootstrap methods can be successfully used to estimate …This paper uses Monte Carlo simulation analysis to study the finite-sample behavior of bootstrap estimators and tests … test and of Bartlett and Edgeworth-corrected tests. The bootstrap test was found to be robust against unfavorable …

, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values … conditions are not fully met, bootstrap may lead to unstable critical values that change significantly with the alternative …, whereas when all conditions are met, bootstrap critical values are very stable, approximate much better the finite sample …

tests to accommodate hidden dependence and non-stationarities involving heteroskedasticity, thereby uncoupling these tests … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series …

Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in … parameter vector. I apply these tools to monetary policy shocks, identified using heteroskedasticity in high frequency data. I …

allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic …) under homoskedasticity, and has much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …

estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study … examines the performance of the statistic for different heteroskedasticity-robust variance estimators and different skedastic … empirical power, how one corrects for heteroskedasticity matters. We also compare its performance with that of the Wald …

The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available … important to explain bootstrap discrepancy are illustrated by some Monte Carlo experiments. …