Controlling The Significance Levels Of Prediction Error Tests For Linear Regression Models  

Oleh:

Godfrey, Leslie G. ; Orme, Chris D.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 3 no. 1 (2000), page 66-83.
Topik: Asymptotic theory; Bootstrap; Prediction error tests; Non-normality.
Fulltext: 66.pdf (299.08KB)

Isi artikel

This paper provides evidence on problems associated with using standard tests for predictive failure when the errors of a linear regression model are not normally distributed. The ability of a simple bootstrap procedure to give a useful degree of control over the significance levels is examined.

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