How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?

DOI10.48550/ARXIV.2005.04089MaRDI QIDQ137933zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2005.04089

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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.

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