Bootstrap-based critical values for tests of...

Bootstrap-based critical values for tests of common factor restrictions

Abstract

It is shown that the bootstrap can be very useful in controlling the finite sample significance levels of Wald tests of common factor restrictions, especially when the restrictions are in multiplicative form.

Authors

Godfrey LG; Veall MR

Journal

Economics Letters, Vol. 59, No. 1, pp. 1–5

Publisher

Elsevier

Publication Date

April 1, 1998

DOI

10.1016/s0165-1765(98)00020-2

ISSN

0165-1765

Associated Experts

Michael Veall

Professor, Faculty of Social Sciences

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Labels

Fields of Research (FoR)

38 Economics 3802 Econometrics

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