How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?

Benedikt M. P\"otscher and David Preinerstorfer
Authors registered in the RePEc Author Service: Benedikt M. Pötscher

Papers from arXiv.org

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: 2020-05, Revised 2021-11
New Economics Papers: this item is included in nep-ecm
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Published in Econometric Theory 39 (2023), 789-847

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Related works:
Journal Article: HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS? (2023)
Working Paper: How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2005.04089

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