Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model
We use Monte Carlo methods to study the properties of the bootstrap Breusch-Godfrey test for autocorrelated errors in two versions a) by bootstrapping under the null hypothesis, restricted and b) by bootstrapping under the alternative hypothesis, unrestricted. We use the residual bootstrap for the bootstrap-BG test. Our analysis regarding the size of the test reveals that both bootstrap tests have