How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
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Publication:137933
DOI10.48550/ARXIV.2005.04089arXiv2005.04089OpenAlexW3023207536MaRDI QIDQ137933FDOQ137933
Authors: Benedikt M. Pötscher, David Preinerstorfer, Benedikt M. Pötscher, David Preinerstorfer 
Publication date: 8 May 2020
Published in: Econometric Theory (Search for Journal in Brave)
Abstract: We develop theoretical finite-sample results concerning the size of wild bootstrap-based heteroskedasticity robust tests in linear regression models. In particular, these results provide an efficient diagnostic check, which can be used to weed out tests that are unreliable for a given testing problem in the sense that they overreject substantially. This allows us to assess the reliability of a large variety of wild bootstrap-based tests in an extensive numerical study.
Full work available at URL: https://arxiv.org/abs/2005.04089
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