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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Published Version: http://dx.doi.org/10.1016/S0165-1765(02)00088-5
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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