Godfrey Bootstrap Tests for Regression Models

2009
ISBN: 978-0-230-23373-7
Verlag: Palgrave Macmillan UK
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 329 Seiten, eBook

Reihe: Palgrave Texts in Econometrics

An accessible discussion examining computationally-intensive techniques and bootstrap methods, providing ways to improve the finite-sample performance of well-known asymptotic tests for regression models. This book uses the linear regression model as a framework for introducing simulation-based tests to help perform econometric analyses.

Zielgruppe

Research

Autoren/Hrsg.

Godfrey, L.

Inhaltsverzeichnis

Preface PART I: TESTS FOR LINEAR REGRESSION MODELS Introduction Tests for the Classical Linear Regression Model Tests for Linear Regression Models Under Weaker Assumptions: Random Regressors and Non-Normal IID Errors Tests for Generalized Linear Regression Models Finite-Sample Properties of Asymptotic Tests  Non-Standard Tests for Linear Regression Models Summary and Concluding Remarks PART II: SIMULATION-BASED TESTS: BASIC IDEAS Introduction Some Simple Examples of Tests for IID Variables and Key Concepts Simulation-Based Tests for Regression Models Asymptotic Properties of Bootstrap Tests The Double Bootstrap Summary and Concluding Remarks PART III: SIMULATION-BASED TESTS FOR REGRESSION MODELS WITH IID ERRORS: SOME STANDARD CASES Introduction A Monte Carlo Test of the Assumption of Normality Simulation-Based Tests for Heteroskedasticity Bootstrapping F Tests of Linear Coefficient Restrictions Bootstrapping LM Tests for Serial Correlation in Dynamic Regression Models Summary and Concluding Remarks PART IV: SIMULATION-BASED TESTS FOR REGRESSION MODELS WITH IID ERRORS: SOME NON-STANDARD CASES Introduction Bootstrapping Predictive Tests Using Bootstrap Methods with a Battery of OLS Diagnostic Tests Bootstrapping Tests for Structural Breaks Summary and Conclusions PART V: BOOTSTRAP METHODS FOR REGRESSION MODELS WITH NON-IID ERRORS Introduction Bootstrap Methods for Independent Heteroskedastic Errors Bootstrap Methods for Homoskedastic Autocorrelated Errors Bootstrap Methods for Heteroskedastic Autocorrelated Errors Summary and Concluding Remarks PART VI: SIMULATION-BASED TESTS FOR REGRESSION MODELS WITH NON-IID ERRORS Introduction Bootstrapping Heteroskedasticity-Robust Regression Specification Error Tests Bootstrapping Heteroskedasticity-Robust Autocorrelation Tests for Dynamic Models Bootstrapping Heteroskedasticity-Robust Structural Break Tests with an Unknown Breakpoint Bootstrapping Autocorrelation-Robust Hausman Tests Summary and Conclusions PART VII:Simulation-Based Tests for Non-Nested Regression Models Introduction Asymptotic Tests for Models with Non-Nested Regressors Bootstrapping Tests for Models with Non-Nested Regressors Bootstrapping the LLR Statistic with Non-Nested Models Summary and Concluding Remarks PART VIII: EPILOGUE Bibliography Author Index Subject Index

Über Autor(innen)

LESLIE GODFREY is Professor of Econometrics at the University of York, UK and a Fellow of the
Journal of Econometrics
. He has served on the editorial boards of Econometric Theory and Econometric Reviews. His articles have been published in leading journals, including
Econometrica,Journal of Econometrics
and
Review of Economics and Statistics
.