The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors
This paper is concerned with statistical inference for the coefficient of the linear regression model when the error term follows an autoregressive (AR) model. Past studies have reported severe size distortions, when the data are trending and autocorrelation of the error term is high. In this paper, we consider a test based on the bias-corrected bootstrap, where bias-corrected parameter estimators for the AR and regression coefficients are used. For bias-correction, the jackknife and bootstrap methods are employed. Monte Carlo simulations are conducted to compare size and power properties of the bias-corrected bootstrap test. It is found that the bias-corrected bootstrap test shows substantially improved size properties and exhibits excellent power for most of cases considered. It also appears that bootstrap bias-correction leads to better size and higher power values than jackknife bias-correction. These results are found to be robust to the choice of parameter estimation methods. Copyright Springer Science + Business Media, Inc. 2005
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 25 (2005)
Issue (Month): 3 (June)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/economic+theory/journal/10614/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Veall, Michael R., 1986. "Bootstrapping regression estimators under first-order serial correlation," Economics Letters, Elsevier, vol. 21(1), pages 41-44.
- Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
- Rahman, Shahidur & King, Maxwell L., 1997. "Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 81-106.
- Kwok, Ben & Veall, Michael R., 1988. "The jackknife and regression with AR(1) errors," Economics Letters, Elsevier, vol. 26(3), pages 247-252.
- Maddala, G S & Rao, A S, 1973. "Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors," Econometrica, Econometric Society, vol. 41(4), pages 761-774, July.
- Oxley, Leslie T & Roberts, Colin J, 1982. "Pitfalls in the Application of the Cochrane-Orcutt Technique," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 44(3), pages 227-240, August.
- King, M.L. & Giles, D.E.A., 1984. "Autocorrelation pre-testing in the linear model: Estimation, testing and prediction," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 35-48.
- Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
- Rayner, Robert K., 1991. "Resampling methods for tests in regression models with autocorrelated errors," Economics Letters, Elsevier, vol. 36(3), pages 281-284, July.
- Rilstone, Paul, 1993. "Some improvements for bootstrapping regression estimators under first-order serial correlation," Economics Letters, Elsevier, vol. 42(4), pages 335-339.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- Oxley, Leslie T. & Roberts, Colin J., 1986. "Multiple minima and the Cochrane-Orcutt technique : Some initial Monte Carlo results," Economics Letters, Elsevier, vol. 20(3), pages 247-250.
When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:25:y:2005:i:3:p:255-267. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.