Using bootstrap methods to obtain nonnormality robust Chow prediction tests

Leslie G. Godfrey, Chris D. Orme

Research output: Contribution to journalArticlepeer-review

Abstract

This paper emphasizes the sensitivity to nonnormality of the standard Chow test for predictive failure. Based on well established asymptotic arguments, a simple double bootstrap procedure is proposed, evaluated and found to be robust to nonnormality. © 2002 Elsevier Science B.V. All rights reserved.
Original languageEnglish
Pages (from-to)429-436
Number of pages7
JournalEconomics Letters
Volume76
Issue number3
DOIs
Publication statusPublished - 2002

Keywords

  • Bootstrap
  • Chow tests
  • Regression models

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