Author:
Pötscher Benedikt M.,Preinerstorfer David
Abstract
We 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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
2 articles.
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1. VALID HETEROSKEDASTICITY ROBUST TESTING;Econometric Theory;2023-09-11
2. Wald type tests with the wrong dispersion matrix;Communications in Statistics - Theory and Methods;2022-09-19