کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5057558 1476604 2017 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robust heteroskedasticity-robust tests
ترجمه فارسی عنوان
تست های قوی آزمون ناهمگونی
کلمات کلیدی
C12؛ C15؛ Heteroskedasticity؛ استنتاج استوار؛ بوت استرپ وحشی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- Robustness of Hausman and Palmer's heteroscedasticity-robust test is investigated.
- It is found to have large size distortion in several data generating processes.
- A wild bootstrap test has much better size in finite samples.
- Hausman and Palmer provides no robust power improvement over the wild bootstrap.

Hausman and Palmer (2012) suggest using the Edgeworth corrected critical values of Rothenberg (1988) along with a pairs bootstrap covariance matrix estimator in order to obtain second order correct heteroskedasticity-robust inferences. According to their simulations, this test has size comparable to and power greater than a wild bootstrap test. In this note, I show that this does not hold in general. Using a more extensive set of simulations reveals that the wild bootstrap test is much more robust to the underlying data generating process.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 159, October 2017, Pages 28-32
نویسندگان
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