Gossner, Olivier 
ORCID: 0000-0003-3950-0208 and Schlag, Karl H.
(2013)
Finite-sample exact tests for linear regressions with bounded dependent variables.
Journal of Econometrics, 177 (1).
pp. 75-84.
ISSN 0304-4076
Identification Number: 10.1016/j.jeconom.2013.06.003
Abstract
We introduce tests for finite-sample linear regressions with heteroskedastic errors. The tests are exact, i.e., they have guaranteed type I error probabilities when bounds are known on the range of the dependent variable, without any assumptions about the noise structure. We provide upper bounds on probability of type II errors, and apply the tests to empirical data.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.sciencedirect.com/science/journal/03044... |
| Additional Information: | © 2013 Elsevier B.V. |
| Divisions: | Mathematics |
| Subjects: | Q Science > QA Mathematics |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing |
| Date Deposited: | 19 Aug 2013 15:10 |
| Last Modified: | 01 Oct 2024 03:40 |
| Projects: | MEC-SEJ2006-09993 |
| Funders: | Ministerio de Educación y Ciencia de España |
| URI: | http://eprints.lse.ac.uk/id/eprint/51789 |
Actions (login required)
 |
View Item |
