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math.ST2026
Bootstrap Inference under General Two-way Clustering with Serially and Spatially Dependent Common Effects
Ulrich Hounyo, Jiahao Lin
This paper develops bootstrap procedures for inference in linear regression models with two-way clustered data. We characterize the estimator's asymptotic behavior in five mutually…
math.ST2016★ 4 cited
The Local Fractional Bootstrap
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde +1
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample p…