Pötscher, Benedikt M. and Preinerstorfer, David (2020): How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
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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.
Item Type: | MPRA Paper |
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Original Title: | How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? |
Language: | English |
Keywords: | wild bootstrap-based heteroskedasticity robust tests, size distortions |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables |
Item ID: | 100234 |
Depositing User: | Benedikt Poetscher |
Date Deposited: | 10 May 2020 15:38 |
Last Modified: | 10 May 2020 15:38 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/100234 |
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