文章基本信息

标题：Two Sides Of The Same Coin: Bootstrapping The Restricted Vs. Unrestricted Model
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作者：Mantalos, Panagiotis
期刊名称：Journal of Modern Applied Statistical Methods
出版年度：2005
卷号：4
期号：1
页码：4
出版社：Wayne State University
摘要：The properties of the bootstrap test for restrictions are studied in two versions: 1) bootstrapping under the null hypothesis, restricted, and 2) bootstrapping under the alternative hypothesis, unrestricted. This article demonstrates the equivalence of these two methods, and illustrates the small sample properties of the Wald test for testing Granger-Causality in a stable stationary VAR system by Monte Carlo methods. The analysis regarding the size of the test reveals that, as expected, both bootstrap tests have actual sizes that lie close to the nominal size. Regarding the power of the test, the Wald and bootstrap tests share the same power as the use of the Size-Power Curves on a correct size-adjusted basis.
关键词：Bootstrap; Granger-Causality; VAR system; Wald test