Finite-sample exact tests for linear regressions with bounded dependent variables

Gossner, OlivierORCID logo; 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
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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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