Controlling the significance levels of prediction error tests for linear regression models

Leslie G. Godfrey, Chris D. Orme

Research output: Contribution to journalArticlepeer-review

Abstract

This paper provides evidence on problems associated with using standard tests for predictive failure when the errors of a linear regression model are not normally distributed. The ability of a simple bootstrap procedure to give a useful degree of control over the significance levels is examined.
Original languageEnglish
Pages (from-to)66-83
Number of pages18
JournalThe Econometrics Journal
Volume3
Issue number1
DOIs
Publication statusPublished - 2000

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