Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests

Leslie Godfrey

Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue 2, 263-279

Abstract: Double bootstrap methods are used to control the overall significance level of a battery of diagnostic tests applied to a regression model estimated by ordinary least squares. Monte Carlo evidence on the finite sample performance of the bootstrap methods is reported and discussed.

Date: 2005
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https://doi.org/10.1111/j.1468-0084.2004.00119.x

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