The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be important to explain bootstrap discrepancy are illustrated by some Monte Carlo experiments.
Davidson, R., Monticini, A., Bootstrap Performance with Heteroskedasticity, <<Working Paper del Dipartimento di Economia e Finanza>>, 2023; (130): 1-18 [https://hdl.handle.net/10807/262816]
Bootstrap Performance with Heteroskedasticity
Davidson, Russell;Monticini, Andrea
2023
Abstract
The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be important to explain bootstrap discrepancy are illustrated by some Monte Carlo experiments.
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