Bootstrap-based critical values for tests of common factor restrictions

DOI10.1016/S0165-1765(98)00020-2zbMath0906.90035MaRDI QIDQ1128779

Leslie G. Godfrey, Michael R. Veall

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Wald statisticsdynamic specificationlack of invariance

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (1)

Bootstrap confidence bands for shrinkage estimators

Cites Work

• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
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