Read e-book online Bootstrap Tests for Regression Models PDF

By L. Godfrey

ISBN-10: 0230202314

ISBN-13: 9780230202313

ISBN-10: 0230233732

ISBN-13: 9780230233737

An available dialogue reading computationally-intensive ideas and bootstrap equipment, offering how you can enhance the finite-sample functionality of famous asymptotic assessments for regression types. This publication makes use of the linear regression version as a framework for introducing simulation-based checks to assist practice econometric analyses.

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Sample text

Let X1 be the 27 by 3 matrix with typical row (xi1 , xi2 , xi3 ) and X2 be the 27 by 3 matrix with typical row (x2i2 , xi2 xi3 , x2i3 ). The regressor matrix for the unrestricted model, X = (X1 , X2 ), is then 27 by 6 with typical 28 Bootstrap Tests for Regression Models row (xi1 , xi2 , xi3 , x2i2 , xi2 xi3 , x2i3 ). Given β 2 = (β4 , β5 , β6 ) = 03 , the F-test statistic is invariant with respect to the value of β 1 = (β1 , β2 , β3 ) because RSS(H1 ) = uˆ uˆ = u M Mu = u Mu, and RSS(H0 ) = u˜ u˜ = u M1 M1 u = u M1 u, in which u = (u1 , .

U27 ) and M1 = (I27 − X1 (X1 X1 )−1 X1 ); see Davidson and MacKinnon (2004, pp. 141–142) for a detailed explanation in a more general setting. Consequently, for the purpose of investigating the significance levels of the F-test under non-Normality, the elements of β can all be set equal to zero, without any loss of generality. The relevant F-statistic can be expressed as u M1 u − u Mu 21 (cu) M1 (cu) − (cu) M(cu) 21 × = × , u Mu 3 (cu) M(cu) 3 for any nonzero constant c. It follows that the F-statistic is unaffected by the choice of the error variance in the simulation experiment.

In the latter situation, the probability of detecting a departure from the null hypothesis, that is, the power of the test, is emphasized. Given the decision rule, these probabilities are implied by the sampling distributions of test statistics under null and alternative hypotheses, respectively. As discussed in the previous chapter, the exact form of a sampling distribution under the null hypothesis can sometimes be derived for certain tests, under very restrictive assumptions. However, it is much more common in econometrics to admit that the assumptions required for exact knowledge are not satisfied in many cases of practical relevance and instead to use approximate sampling distributions that are asymptotically valid under relatively weak assumptions.

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Bootstrap Tests for Regression Models by L. Godfrey


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