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Asymptotic refinements of bootstrap tests in a linear regression model ; A CHM bootstrap using the first four moments of the residuals

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  • Pierre-Eric Treyens

    ()
    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - CNRS : UMR6579)

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    Abstract

    We consider linear regression models and we suppose that disturbances are either Gaussian or non Gaussian. Then, by using Edgeworth expansions, we compute the exact errors in the rejection probability (ERPs) for all one-restriction tests (asymptotic and bootstrap) which can occur in these linear models. More precisely, we show that the ERP is the same for the asymptotic test as for the classical parametric bootstrap test it is based on as soon as the third cumulant is nonnul. On the other side, the non parametric bootstrap performs almost always better than the parametric bootstrap. There are two exceptions. The first occurs when the third and fourth cumulants are null, in this case parametric and non parametric bootstrap provide exactly the same ERPs, the second occurs when we perform a t-test or its associated bootstrap (parametric or not) in the models y =μ+u and y=ax+u where the disturbances have nonnull kurtosis coefficient and a skewness coefficient equal to zero. In that case, the ERPs of any test (asymptotic or bootstrap) we perform are of the same order.Finally, we provide a new parametric bootstrap using the first four moments of the distribution of the residuals which is as accurate as a non parametric bootstrap which uses these first four moments implicitly. We will introduce it as the parametric bootstrap considering higher moments (CHM), and thus, we will speak about the CHM parametric bootstrap

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    Bibliographic Info

    Paper provided by HAL in its series Working Papers with number halshs-00289456.

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    Date of creation: 20 Jun 2008
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    Handle: RePEc:hal:wpaper:halshs-00289456

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    Related research

    Keywords: Non parametric bootstrap; Parametric Bootstrap; Cumulants; Skewness; kurtosis.;

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