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How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?

Author

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  • Pötscher, Benedikt M.
  • Preinerstorfer, David

Abstract

We develop theoretical finite-sample results concerning the size of wild bootstrap-based heteroskedasticity robust tests in linear regression models. In particular, these results provide an efficient diagnostic check, which can be used to weed out tests that are unreliable for a given testing problem in the sense that they overreject substantially. This allows us to assess the reliability of a large variety of wild bootstrap-based tests in an extensive numerical study.

Suggested Citation

  • Pötscher, Benedikt M. & Preinerstorfer, David, 2023. "How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?," Econometric Theory, Cambridge University Press, vol. 39(4), pages 789-847, August.
    • Handle: RePEc:cup:etheor:v:39:y:2023:i:4:p:789-847_4
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    Cited by:

    1. Benedikt M. Potscher & David Preinerstorfer, 2024. "A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics," Papers 2412.17470, arXiv.org, revised Apr 2026.
    2. Pötscher, Benedikt M. & Preinerstorfer, David, 2025. "Valid Heteroskedasticity Robust Testing," Econometric Theory, Cambridge University Press, vol. 41(2), pages 249-301, April.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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