The National Centre for Econometric Research (NCER) will hold a short course titled, "The Bootstrap" at QUT, from 8 - 10 February. (3 lectures over 3 days, of 2 hours duration each.))

All participants are required to register with the Administration Coordinator.

The lectures will be held in Room Z305, Gardens Point Campus, QUT, from 2 pm to 4 pm each day.

Course Convener

Russell Davidson is a Professor in the Department of Economics at McGill University and a Research Fellow for CIREQ, GREQAM.

Course Outline

The bootstrap is a statistical technique used more and more widely in econometrics. Although the principle of the bootstrap does not depend on simulation, in practice simulation is almost always necessary for its implementation. Bootstrapping always involves setting up a bootstrap data-generating process (DGP). The main types of bootstrap DGP in current use will be discussed in the course, with examples of their use in econometrics.

I intend to follow a set of notes in the form of slides as the main support for the course. These will be made available in a PDF file, as will some papers that have not yet appeared in journals.

The following is an approximate outline of the course material:

  1. Definitions and notation for the bootstrap; the bootstrap principle.
  2. Monte Carlo tests
  3. The parametric bootstrap.
  4. Resampling and the nonparametric bootstrap.
  5. The Golden Rules of Bootstrapping
  6. Confidence intervals: asymptotic and bootstrap confidence intervals.
  7. The bootstrap discrepancy and bootstrap refinements.
  8. Estimating the bootstrap discrepancy and the fast approximation.
  9. Heteroskedasticity and dependent data
  10. Bootstrap iteration.
Please see the outline (PDF, 21KB) for more information and the bibliography.

Course Materials

bootstrap_course16.pdf (PDF, 343KB)

Enquiries and Registration

This course is free-of-charge for members of our Institution Partners, however there is a cost of $90 for other participants.

For further details please contact the NCER Administration Coordinator:

Angela Fletcher
Queensland University of Technology
Email: a.fletcher@qut.edu.au