Book chapter
Testing the semiparametric box–cox model with the bootstrap
Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, pp.332-354
Cambridge University Press
2005
DOI: 10.1017/CBO9780511614491.015
Abstract
This paper considers tests of the transformation parameter of the Box–Cox model when the distribution of the error is unknown. Monte Carlo experiments are carried out to investigate the rejection probabilities of the GMM-based Wald and Lagrange multiplier (LM) tests when the null hypothesis is true. The results show that the differences between empirical and nominal levels can be large when asymptotic critical values are used. In most cases, the bootstrap reduces the differences between the empirical and nominal levels, and, in many cases, essentially removes the distortions in levels that occur with asymptotic critical values. Experiments are also carried out to investigate the ability of the bootstrap to provide improved finite-sample critical values with Wald tests based on the semiparametric estimation procedure recently developed by Foster, Tian, and Wei (2001).
Details
- Title: Subtitle
- Testing the semiparametric box–cox model with the bootstrap
- Creators
- N. E. Savin - University of IowaAllan H. Wűrtz - Aarhus University
- Resource Type
- Book chapter
- Publication Details
- Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, pp.332-354
- DOI
- 10.1017/CBO9780511614491.015
- Publisher
- Cambridge University Press; Cambridge
- Number of pages
- 23
- Language
- English
- Date published
- 2005
- Academic Unit
- Economics
- Record Identifier
- 9984963216302771
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