Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149771
Authors: 
Moreira, Marcelo J.
Mourão, Rafael
Moreira, Humberto
Year of Publication: 
2016
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP24/16
Abstract: 
Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis when the test statistic is larger than a critical value function (CVF) of the data. We illustrate this procedure when regressors are highly persistent, a case in which commonly-used simulation methods encounter difficulties controlling size uniformly. Our approach works satisfactorily, controls size, and yields a test which outperforms the two other known similar tests.
Subjects: 
t-statistic
bootstrap
subsampling
similar tests
Document Type: 
Working Paper

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