A simple bootstrap test for time series regression models

被引：3
|
作者：
Li, DD [1 ]
机构：
[1] Univ Windsor, Dept Econ, Windsor, ON N9B 3P4, Canada
来源：
JOURNAL OF NONPARAMETRIC STATISTICS | 2005年 / 17卷 / 04期
关键词：
dependent data; consistent test; wild bootstrap; Monte Carlo simulation;
D O I：
10.1080/10485250500039403
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we consider a simple bootstrap test for testing a parametric regression functional form with time-series dependent data. We establish the asymptotic validity of the wild bootstrap method. Monte Carlo simulations show that the bootstrap test performs well based on 'wild bootstrap' critical values.
引用
收藏
页码：513 / 520
页数：8
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