Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests
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. Copyright 2005 Blackwell Publishing Ltd.
Year of publication: |
2005
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Authors: | Godfrey, Leslie G. |
Published in: |
Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 67.2005, 2, p. 263-279
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Publisher: |
Department of Economics |
Saved in:
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