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Testing the Semiparametric Box-Cox Model with the Bootstrap

Savin, N. Eugene; Wurtz, Allan - 2002

This paper considers tests of the transformation parameter of the Box-Cox model when the distribution of the error is unknown. Monte Carlo experiments are carried out to investigate the rejection probabilities of the GMM-based Wald and Lagrange Multiplier (LM) tests when the null hypothesis is...

Persistent link: https://www.econbiz.de/10014111023

Empirically relevant critical values for hypothesis tests : a bootstrap approach

Horowitz, Joel; Savin, N. Eugene - In: Journal of econometrics 95 (2000) 2, pp. 375-389

Persistent link: https://www.econbiz.de/10001436016

Testing the semiparametric box-cox model with the bootstrap

Savin, N. Eugene (contributor); Würtz, Allan H. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001690153

Bootstrapping the Box-Pierce Q test : a robust test of uncorrelatedness

Horowitz, Joel; Lobato, Ignacio N.; Nankervis, John C.; … - In: Journal of econometrics 133 (2006) 2, pp. 841-862

Persistent link: https://www.econbiz.de/10003359657

Testing the semiparametric Box-Cox model with the bootstrap

Savin, N. Eugene; Würtz, Allan H. - In: Identification and inference for econometric models : …, (pp. 332-354). 2005

Persistent link: https://www.econbiz.de/10003352571