This paper proposes a test for the signal-to-noise ratio applicable to a range of significance tests and model diagnostics in a linear regression. It is particularly useful under a large or massive sample size, where a conventional test frequently rejects an economically negligible deviation...

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the generalized least square estimator for VAR parameters, which takes account of...