HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS?

B-Tier
Journal: Econometric Theory
Year: 2023
Volume: 39
Issue: 4
Pages: 789-847

Authors (2)

Pötscher, Benedikt M. (Universität Wien) Preinerstorfer, David (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:39:y:2023:i:4:p:789-847_4
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29