Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85940
Authors: 
van Giersbergen, Noud P.A.
Kiviet, Jan F.
Year of Publication: 
2001
Series/Report no.: 
Tinbergen Institute Discussion Paper 01-119/4
Abstract: 
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate and in fact equivalent. The equivalence between the two valid implementations is shown tobreak down in dynamic regression models. Then the procedure based on the test statistic approachperforms best, at least in the AR(l)-model. Similar finite-sample phenomena are illustrated in theARMA(l,l)-model through a small-scale Monte Carlo study and an empirical example.
Subjects: 
Asymptotic rejection probabilities
Autoregressive models
Bootstrap
Hypothesis testing
Resampling schemes
JEL: 
C12
C15
C22
Document Type: 
Working Paper

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