A simple bootstrap test for time series regression models. (English) Zbl 1061.62048
Summary: We consider a simple bootstrap test for testing a parametric regression functional form with time-series dependent data. We establish the asymptotic validity of the wild bootstrap method. Monte Carlo simulations show that the bootstrap test performs well based on ‘wild bootstrap’ critical values.
MSC:
| 62F40 | Bootstrap, jackknife and other resampling methods |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 62F03 | Parametric hypothesis testing |
| 62J05 | Linear regression; mixed models |
| 65C05 | Monte Carlo methods |
References:
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