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

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.

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Year of publication:	2013
Authors:	Gossner, Olivier ; Schlag, Karl H.
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 177.2013, 1, p. 75-84
Publisher:	Elsevier
Subject:	Nonparametric linear regression \| Exact test \| Heteroskedasticity

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010703140