In the paper it is shown that in panel data models the Hausman test (HT) statistic can be considerably refined using the bootstrap technique. Edgeworth expansion shows that coverage of the bootstrapped HT is second-order correct. The asymptotic vs. the bootstrapped HT are compared also by Monte...

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken ‘directly' from the observed data. The procedure is useful when one wants to summarize the test results for several...

We derive new statistical tests for leave-one-out cross-validation of Kriging models. Graphically, we present these tests as scatterplots augmented with confidence intervals. We may wish to avoid extrapolation, which we define as prediction of the output for a point that is a vertex of the...