Finite-sample exact tests for linear regressions with bounded dependent variables
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
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 |
|---|---|
| Copyright holders | © 2013 Elsevier B.V. |
| Departments | Mathematics |
| DOI | 10.1016/j.jeconom.2013.06.003 |
| Date Deposited | 19 Aug 2013 15:10 |
| URI | https://researchonline.lse.ac.uk/id/eprint/51789 |
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ORCID: https://orcid.org/0000-0003-3950-0208