Residual bootstrap tests in linear models with many regressors
Journal of Econometrics, 2019, vol. 208, issue 2, 367-394
This paper is concerned with bootstrap hypothesis testing in linear regression models with many regressors. I show that bootstrap F, LR and LM tests are asymptotically valid even when the numbers of estimated parameters and tested restrictions are not asymptotically negligible fractions of the sample size. One of the conditions for these results is that the regressors come from an asymptotically balanced design. Depending on the number of restrictions tested and on the errors’ distribution, violation of that condition might render the bootstrap tests asymptotically invalid. In that case, I propose bootstrapping Calhoun’s (2011) G statistic or modified versions of the LR and LM statistics, and show that these procedures remain asymptotically valid.
Keywords: Bootstrap; Linear regressions; Many restrictions; Asymptotic refinements (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:208:y:2019:i:2:p:367-394
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