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Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model

Mantalos, Panagiotis LU (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.
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author
organization
publishing date
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
2009-04-20 12:27:24
date last changed
2017-01-01 05:01:24
@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},
  keyword      = {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},
  volume       = {9},
  year         = {2003},
}