Two Sides of the Same Coin: Bootstrapping the Restricted vs. Unrestricted Model
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