Article ID Journal Published Year Pages File Type
5096249 Journal of Econometrics 2013 10 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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