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Using bootstrap methods to obtain nonnormality robust Chow prediction tests

Godfrey, L.G. and Orme, C.D. (2002) Using bootstrap methods to obtain nonnormality robust Chow prediction tests. Economics Letters, 76 (3). pp. 429-436. ISSN 0165-1765

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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.

Item Type: Article
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 05 Jun 2009 10:41
Last Modified: 05 Jun 2009 10:41
Published Version: http://dx.doi.org/10.1016/S0165-1765(02)00088-5
Status: Published
Publisher: Elsevier Science B.V.
Identification Number: 10.1016/S0165-1765(02)00088-5
URI: http://eprints.whiterose.ac.uk/id/eprint/6005

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