Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298356 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 130
Publisher: 
Università Cattolica del Sacro Cuore, Dipartimento di Economia e Finanza (DISCE), Milano
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.
Subjects: 
Bootstrap inference
fast double bootstrap
conditional fast double bootstrap
heteroskedasticity
JEL: 
C12
C22
C32
Document Type: 
Working Paper

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