. One can use the bootstrap distribution of the score test statistic to obtain a critical value. This can give already … value. Since the score test statistic is asymptotically pivotal, the bootstrap critical value is second-order correct … matrix used in the quadratic form. In this paper we propose a bootstrap-based method to obtain both a second-order correct …

) structural change test, where we calculate bootstrap critical values. While the size is correct, his sequential method lacks …

violation of such assumptions can lead to serious modelling flaws. We propose here a bootstrap-corrected conditional moment …

, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values … conditions are not fully met, bootstrap may lead to unstable critical values that change significantly with the alternative …, whereas when all conditions are met, bootstrap critical values are very stable, approximate much better the finite sample …

-nested alternatives. The test is an extension of the classical J test for non-nested regression models. I also provide a bootstrap version …

-reject considerably. We investigate more accurate inference using cluster bootstrap-t procedures that provide asymptotic refinement. These … tests of nominal size 0.05, our methods can reduce this to five percent. In principle a pairs cluster bootstrap should work … well, but in practice a Wild cluster bootstrap performs better. …

asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general …