Finite Sample Exact tests for Linear

We introduce tests for finite sample multivariate linear regressions with heteroskedastic errors that have mean zero. We assume bounds on endoge- nous variables but do not make additional assumptions on errors. The tests are exact, i.e., they have guaranteed type I error probabilities. We provide bounds on probability of type II errors, and apply the tests to empirical data.

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Year of publication:	2012-02
Authors:	Gossner, Oliver ; Schlag, Karl
Institutions:	University of Vienna, Department of Economics

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Extent:	application/pdf
Series:	Vienna Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C20 - Econometric Methods: Single Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009653361