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

Journal article: 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.

Author(s)

Olivier Gossner, Karl H. Schlag

Journal
  • Econometrics
Date of publication
  • 2013
Keywords JEL
C12
Keywords
  • Nonparametric linear regression
  • Exact test
  • Heteroskedasticity
Pages
  • 75-84
Version
  • 1
Volume
  • 177