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Controlling the significance levels of prediction error tests for linear regression models

Author

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  • LESLIE G. GODFREY
  • CHRIS D. ORME

Abstract

This paper provides evidence on problems associated with using standard tests for predictive failure when the errors of a linear regression model are not normally distributed. The ability of a simple bootstrap procedure to give a useful degree of control over the significance levels is examined.

Suggested Citation

  • Leslie G. Godfrey & Chris D. Orme, 2000. "Controlling the significance levels of prediction error tests for linear regression models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 66-83.
    • Handle: RePEc:ect:emjrnl:v:3:y:2000:i:1:p:66-83
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    Citations

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    Cited by:

    1. Marilena Furno, 2008. "Quantile regressions analysis of the Italian school system," Working Papers 2008-06, Universita' di Cassino, Dipartimento di Economia e Giurisprudenza.
    2. Godfrey, Leslie G. & Orme, Chris D., 2002. "Using bootstrap methods to obtain nonnormality robust Chow prediction tests," Economics Letters, Elsevier, vol. 76(3), pages 429-436, August.
    3. Marilena Furno, 2011. "Goodness of Fit and Misspecification in Quantile Regressions," Journal of Educational and Behavioral Statistics, , vol. 36(1), pages 105-131, February.
    4. repec:ebl:ecbull:v:3:y:2004:i:12:p:1-7 is not listed on IDEAS
    5. Furno, Marilena, 2013. "Quantile regression and structural change in the Italian wage equation," Economic Modelling, Elsevier, vol. 30(C), pages 420-434.
    6. Liew, Venus Khim-Sen, 2008. "An overview on various ways of bootstrap methods," MPRA Paper 7163, University Library of Munich, Germany.
    7. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
    8. Berg, Nathan, 2004. "No-decision classification: an alternative to testing for statistical significance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 33(5), pages 631-650, November.
    9. Leslie G. Godfrey, 2005. "Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 263-279, April.
    10. Chris D. Orme & Takashi Yamagata, 2006. "The asymptotic distribution of the F-test statistic for individual effects," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 404-422, November.
    11. Lam, J. -P. & Veall, M. R., 2002. "Bootstrap prediction intervals for single period regression forecasts," International Journal of Forecasting, Elsevier, vol. 18(1), pages 125-130.

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