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.

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Year of publication:	2005
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
Publisher:	Department of Economics

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005186735