Benedikt M. Pötscher, David Preinerstorfer
arXiv 8 May 2020 · Mathematics — Statistics Theory · publishedEconometric Theory (2022) · 4 citations (OpenAlex)
arXiv:2005.04089 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Davidson, R. and Flachaire, E (2008) The wild bootstrap, tamed at last | 0.874 | 8 | 2 | 100% |
| 2 | Davidson, R. and MacKinnon, J. G (1985) Heteroskedasticity-robust tests in regressions directions | 0.874 | 6 | 2 | 100% |
| 3 | Cribari-Neto, F (2004) Asymptotic inference under heteroskedasticity of unknown form | 0.811 | 4 | 2 | 100% |
| 4 | Pötscher, B. M. and Preinerstorfer, D (2021) Valid heteroskedasticity robust testing self | 0.794 | 8 | 4 | 50% |
| 5 | Pötscher, B. M. and Preinerstorfer, D (2018) Controlling the size of autocorrelation robust tests self | 0.644 | 3 | 2 | 67% |
| 6 | Eicker, F (1963) Asymptotic normality and consistency of the least squares estimators for families of linear regressions | 0.644 | 2 | 2 | 100% |
| 7 | Eicker, F (1967) Limit theorems for regressions with unequal and dependent errors | 0.644 | 2 | 2 | 100% |
| 8 | White, H (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity | 0.644 | 2 | 2 | 100% |
| 9 | Preinerstorfer, D (2020) wbsd: wild bootstrap size diagnostics, version 1.0.0 self | 0.644 | 2 | 2 | 100% |
| 10 | Preinerstorfer, D. and Pötscher, B. M (2016) On size and power of heteroskedasticity and autocorrelation robust tests self | 0.620 | 21 | 5 | 24% |
Showing the top 10 of 40 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Valid Heteroskedasticity Robust Testing | 0.794 | 10 | 7 |
| 2 | A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics | 0.511 | 2 | 1 |