Double bootstrap methods are used to control the overall significance level of a battery of diagnostic tests applied to a regression model estimated by ordinary least squares. Monte Carlo evidence on the finite sample performance of the bootstrap methods is reported and discussed. Copyright 2005...

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.