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Panagiotis Mantalos
Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model
Keywords: Autocorrelation, bootstrap, Breusch-Godfrey test method
We use Monte Carlo methods to study the properties of the bootstrap Breusch-Godfrey test for autocorrelated errors in two versions a) by bootstrapping under the null hypothesis, restricted and b) by bootstrapping under the alternative hypothesis, unrestricted. We use the residual bootstrap for the bootstrap-BG test. Our analysis regarding the size of the test reveals that both bootstrap tests have actual sizes that lie close to the nominal size, with the restricted being better. Regarding the power of the test we find that with bootstrapping under the alternative hypothesis, the unrestricted bootstrap test has the greater power in small samples.
Monte Carlo Methods and Applications, Walter de Gruyter
Print ISSN: 0929-9629
Volume: 9, 09/2003
Pages: 257 - 269