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

Article dans une revue: 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.

Auteur(s)

Olivier Gossner, Karl H. Schlag

Revue
  • Econometrics
Date de publication
  • 2013
Mots-clés JEL
C12
Mots-clés
  • Nonparametric linear regression
  • Exact test
  • Heteroskedasticity
Pages
  • 75-84
Version
  • 1
Volume
  • 177