Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap

In regression models, appropriate bootstrap methods for inference robust to heteroskedasticity of unknown form are the wild bootstrap and the pairs bootstrap. The finite sample performance of a heteroskedastic-robust test is investigated with Monte Carlo experiments. The simulation results suggest that one specific version of the wild bootstrap outperforms the other versions of the wild bootstrap and of the pairs bootstrap. It is the only one for which the bootstrap test always gives better results than the asymptotic test. (c) 2004 Elsevier B.V. All rights reserved.