Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/149771 
Year of Publication: 
2016
Series/Report no.: 
cemmap working paper No. CWP24/16
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
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
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.