Finite-sample Exact Tests for Linear Regressions with Bounded Dependent Variables
نویسندگان
چکیده
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.
منابع مشابه
Finite Sample Tests for Arch Effects and Variance Change-points in Linear Regressions
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