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date: 04 July 2020

Summary and Keywords

Unlike traditional first order asymptotic approximations, the bootstrap is a simulation method to solve inferential issues in statistics and econometrics conditional on the available sample information (e.g. constructing confidence intervals, generating critical values for test statistics). Even though econometric theory yet provides sophisticated central limit theory covering various data characteristics, bootstrap approaches are of particular appeal if establishing asymptotic pivotalness of (econometric) diagnostics is infeasible or requires rather complex assessments of estimation uncertainty. Moreover, empirical macroeconomic analysis is typically constrained by short- to medium-sized time windows of sample information, and convergence of macroeconometric model estimates toward their asymptotic limits is often slow. Consistent bootstrap schemes have the potential to improve empirical significance levels in macroeconometric analysis and, moreover, could avoid explicit assessments of estimation uncertainty. In addition, as time-varying (co)variance structures and unmodeled serial correlation patterns are frequently diagnosed in macroeconometric analysis, more advanced bootstrap techniques (e.g., wild bootstrap, moving-block bootstrap) have been developed to account for nonpivotalness as a results of such data characteristics.

Keywords: bootstrap, residual-based bootstrap, wild bootstrap, moving-block bootstrap, VAR, unit root tests, cointegration tests, panel unit root tests

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