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Controlling the significance levels of prediction error tests for linear regression models

Leslie Godfrey and Chris Orme ()

Econometrics Journal, 2000, vol. 3, issue 1, 66-83

Abstract: This paper provides evidence on problems associated with using standard tests for predictive failure when the errors of a linear regression model are not normally distributed. The ability of a simple bootstrap procedure to give a useful degree of control over the significance levels is examined.

Keywords: Asymptotic theory; Bootstrap; Prediction error tests; Non-normality. (search for similar items in EconPapers)
Date: 2000
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Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

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