TY - JOUR
AU - MacKinnon, James G.
AB - Bootstrap testing of nonlinear models normally requires at least one nonlinear estimation for every bootstrap sample. We show how to reduce computational costs by performing only a fixed, small number of Newton or quasi‐Newton steps for each bootstrap sample. The number of steps is smaller for likelihood ratio tests than for other types of classical tests and smaller for Newton's method than for quasi‐Newton methods. The suggested procedures are applied to tests of slope coefficients in the tobit model and to tests of common factor restrictions. In both cases, bootstrap tests work well, and very few steps are needed.
TI - Bootstrap Testing in Nonlinear Models
JF - International Economic Review
DO - 10.1111/1468-2354.00026
DA - 1999-05-01
UR - https://www.deepdyve.com/lp/wiley/bootstrap-testing-in-nonlinear-models-DDbmROwBZm
SP - 487
VL - 40
IS - 2
DP - DeepDyve
ER -