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Bootstrap Testing in Nonlinear Models

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  • Davidson, Russell
  • MacKinnon, James G.

Abstract

When a model is nonlinear bootstrap testing can be expensive because of the need to perform at least one nonlinear estimation for every bootstrap sample We show that it may be possible to reduce computational costs by performing only a xed small number of articial regressions or Newton steps for each bootstrap sample The number of iterations needed is smaller for likelihood ratio tests than for other types of classical tests The suggested procedures are applied to tests of slope coe cients in the tobit model where asymptotic procedures often work surprisingly poorly In contrast bootstrap tests work remarkably well and very few iterations are needed to compute them

Suggested Citation

  • Davidson, Russell & MacKinnon, James G., 1997. "Bootstrap Testing in Nonlinear Models," Queen's Institute for Economic Research Discussion Papers 273378, Queen's University - Department of Economics.
    • Handle: RePEc:ags:queddp:273378
    DOI: 10.22004/ag.econ.273378
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    References listed on IDEAS

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    1. Gregory, Allan W & Veall, Michael R, 1987. "Formulating Wald Tests of the Restrictions Implied by the Rational Expectations Hypothesis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(1), pages 61-68, January.
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    4. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
    5. Amemiya, Takeshi, 1973. "Regression Analysis when the Dependent Variable is Truncated Normal," Econometrica, Econometric Society, vol. 41(6), pages 997-1016, November.
    6. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-1083, September.
    7. Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-1468, November.
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    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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