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BOOTDIAG: Stata module to perform bootstrap and Monte Carlo post-estimation diagnostic tests for time-series regression and the ARDL family

Author

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  • Merwan Roudane

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Abstract

bootdiag replaces the asymptotic p-values of the standard regression diagnostics with bootstrap and Monte Carlo p-values. It runs after regress, newey, ardl, aardl, fbardl, fbnardl and mtnardl. The test statistic is computed from the residuals and the design matrix of the fitted equation, exactly as the source papers define it. Only the {it:null distribution} changes: it is obtained by simulation rather than from a chi-squared or F table. bootdiag recovers the estimated equation from e() and verifies the reconstruction against the residual sum of squares the fitting command reported. If the two disagree it stops with an error rather than reporting a number that does not correspond to the model you estimated.

Suggested Citation

  • Merwan Roudane, 2026. "BOOTDIAG: Stata module to perform bootstrap and Monte Carlo post-estimation diagnostic tests for time-series regression and the ARDL family," Statistical Software Components S459921, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459921
    Note: This module should be installed from within Stata by typing "ssc install bootdiag". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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