How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?

05/08/2020

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by   Benedikt M. Pötscher, et al.

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We develop theoretical finite-sample results concerning the size of wild bootstrap-based heteroskedasticity robust tests in linear regression models. In particular, these results provide an efficient diagnostic check, which can be used to weed out tests that are unreliable for a given testing problem in the sense that they overreject substantially. This allows us to assess the reliability of a large variety of wild bootstrap-based tests in an extensive numerical study.