Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model
(2003) In Monte Carlo Methods and Applications 9(3). p.257-271- Abstract
- We use Monte Carlo methods to study the properties of the bootstrap Breusch-Godfrey test for autocorrelated errors in two versions a) by bootstrapping under the null hypothesis, restricted and b) by bootstrapping under the alternative hypothesis, unrestricted. We use the residual bootstrap for the bootstrap-BG test. Our analysis regarding the size of the test reveals that both bootstrap tests have actual sizes that lie close to the nominal size, with the restricted being better. Regarding the power of the test we find that with bootstrapping under the alternative hypothesis, the unrestricted bootstrap test has the greater power in small samples.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1387124
- author
- Mantalos, Panagiotis LU
- organization
- publishing date
- 2003
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Autocorrelation, bootstrap, Breusch-Godfrey test method
- in
- Monte Carlo Methods and Applications
- volume
- 9
- issue
- 3
- pages
- 257 - 271
- publisher
- De Gruyter
- external identifiers
-
- scopus:33847396747
- ISSN
- 1569-3961
- DOI
- 10.1515/156939603322729012
- language
- English
- LU publication?
- yes
- id
- 6118092f-5b68-43c9-aa07-161ae0bcb871 (old id 1387124)
- date added to LUP
- 2016-04-01 12:18:08
- date last changed
- 2022-01-27 01:45:07
@article{6118092f-5b68-43c9-aa07-161ae0bcb871, abstract = {{We use Monte Carlo methods to study the properties of the bootstrap Breusch-Godfrey test for autocorrelated errors in two versions a) by bootstrapping under the null hypothesis, restricted and b) by bootstrapping under the alternative hypothesis, unrestricted. We use the residual bootstrap for the bootstrap-BG test. Our analysis regarding the size of the test reveals that both bootstrap tests have actual sizes that lie close to the nominal size, with the restricted being better. Regarding the power of the test we find that with bootstrapping under the alternative hypothesis, the unrestricted bootstrap test has the greater power in small samples.}}, author = {{Mantalos, Panagiotis}}, issn = {{1569-3961}}, keywords = {{Autocorrelation; bootstrap; Breusch-Godfrey test method}}, language = {{eng}}, number = {{3}}, pages = {{257--271}}, publisher = {{De Gruyter}}, series = {{Monte Carlo Methods and Applications}}, title = {{Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model}}, url = {{http://dx.doi.org/10.1515/156939603322729012}}, doi = {{10.1515/156939603322729012}}, volume = {{9}}, year = {{2003}}, }