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 language | English |
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Pages (from-to) | 429-436 |
Number of pages | 7 |
Journal | Economics Letters |
Volume | 76 |
Issue number | 3 |
DOIs | |
Publication status | Published - 2002 |
Keywords
- Bootstrap
- Chow tests
- Regression models