Finite-sample exact tests for linear regressions with bounded dependent variables
نویسندگان
چکیده
منابع مشابه
Finite-sample Exact Tests for Linear Regressions with Bounded Dependent Variables
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.
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A wide range of tests for heteroskedasticity have been proposed in econometrics and statistics.1 Although a few exact tests are available (e.g. Goldfeld-Quandt’s F -test, its extensions and Szroeter’s procedures),2 common heteroskedasticity tests are asymptotic which may not control size in finite samples. So a number of recent studies have tried to improve the reliability of these tests using ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2013
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2013.06.003