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Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests

Godfrey, L.G. (2005) Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests. Oxford Bulletin of Economics and Statistics, 67 (2). pp. 263-279. ISSN 0305-9049

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Abstract

Double bootstrap methods are used to control the overall significance level of a battery of diagnostic tests applied to a regression model estimated by ordinary least squares. Monte Carlo evidence on the finite sample performance of the bootstrap methods is reported and discussed.

Item Type: Article
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 06 Mar 2009 14:39
Last Modified: 06 Mar 2009 14:39
Published Version: http://dx.doi.org/10.1111/j.1468-0084.2004.00119.x
Status: Published
Publisher: Blackwell Publishing
Identification Number: 10.1111/j.1468-0084.2004.00119.x
URI: http://eprints.whiterose.ac.uk/id/eprint/7148

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