Gossner, Olivier 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
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. |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Journal of Economic Literature Classification System: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing |
| Sets: | Departments > Mathematics |
| Funders: | Ministerio de Educación y Ciencia de España |
| Projects: | MEC-SEJ2006-09993 |
| Date Deposited: | 19 Aug 2013 15:10 |
| URL: | http://eprints.lse.ac.uk/51789/ |
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