How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?

• Tác giả: Benedikt M Pötscher, David Preinerstorfer
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.76 Stochastic systems
• Thông tin xuất bản: 2020
• Bộ sưu tập: Báo, Tạp chí
• ID: 164383

Tóm tắt

Comment: 59 pages, 1 figureWe develop theoretical finite-sample results concerning the size of wild bootstrap-based heteroskedasticity robust tests in linear regression models. In particular, these results provide an efficient diagnostic check, which can be used to weed out tests that are unreliable for a given testing problem in the sense that they overreject substantially. This allows us to assess the reliability of a large variety of wild bootstrap-based tests in an extensive numerical study.