How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?

Authors :: Pötscher, Benedikt M.
Preinerstorfer, David
Source :: Econometric Theory 39 (2023), 789-847
Publication Year :: 2020
Abstract: 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.<br />Comment: 59 pages, 1 figure