Bootstrap-based critical values for tests of common factor restrictions

DOI10.1016/S0165-1765(98)00020-2MaRDI QIDQ1128779zbMATH OpenFDO

Authors L. G. Godfrey, Michael R. Veall

Publication date 13 August 1998

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Wald statisticsdynamic specificationlack of invariance

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements

Cited in

(4)

• Bootstrap confidence bands for shrinkage estimators
• Bootstrap critical values for tests based on the smoothed maximum score estimator
• Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
• Testing for the null of block zero restrictions in common factor models

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