HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS?

Benedikt Pötscher and David Preinerstorfer

Econometric Theory, 2023, vol. 39, issue 4, 789-847

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.

Date: 2023
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Working Paper: How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? (2021)
Working Paper: How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? (2020)
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