Finite-sample exact tests for linear regressions with bounded dependent variables
Gossner, O.
& Schlag, K. H.
(2013).
Finite-sample exact tests for linear regressions with bounded dependent variables.
Journal of Econometrics,
177(1), 75-84.
https://doi.org/10.1016/j.jeconom.2013.06.003
& Schlag, K. H.
(2013).
Finite-sample exact tests for linear regressions with bounded dependent variables.
Journal of Econometrics,
177(1), 75-84.
https://doi.org/10.1016/j.jeconom.2013.06.003
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.