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Palgrave Macmillan

Bootstrap Tests for Regression Models

  • Book
  • © 2009

Overview

Authors:
  1. Leslie Godfrey
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Part of the book series: Palgrave Texts in Econometrics (PTEC)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Tests for Linear Regression Models

    • Leslie Godfrey
    Pages 1-43

  3. Simulation-based Tests: Basic Ideas

    • Leslie Godfrey
    Pages 44-80

  4. Simulation-based Tests for Regression Models with IID Errors: Some Standard Cases

    • Leslie Godfrey
    Pages 81-133

  5. Simulation-based Tests for Regression Models with IID Errors: Some Non-standard Cases

    • Leslie Godfrey
    Pages 134-176

  6. Bootstrap Methods for Regression Models with Non-IID Errors

    • Leslie Godfrey
    Pages 177-217

  7. Simulation-based Tests for Regression Models with Non-IID Errors

    • Leslie Godfrey
    Pages 218-265

  8. Simulation-based Tests for Non-nested Regression Models

    • Leslie Godfrey
    Pages 266-302

  9. Epilogue

    • Leslie Godfrey
    Pages 303-304

  10. Back Matter

    Pages 305-329
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Keywords

About this book

An accessible discussion examining computationally-intensive techniques and bootstrap methods, providing ways to improve the finite-sample performance of well-known asymptotic tests for regression models. This book uses the linear regression model as a framework for introducing simulation-based tests to help perform econometric analyses.

About the author

LESLIE GODFREY is Professor of Econometrics at the University of York, UK and a Fellow of the Journal of Econometrics. He has served on the editorial boards of Econometric Theory and Econometric Reviews. His articles have been published in leading journals, including Econometrica, Journal of Econometrics and Review of Economics and Statistics.

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